Hedge Funds Slide Further In July

Aug 4 2011 | 12:56pm ET

The second half of 2011 opened in pretty much the same way the first half closed: with most hedge funds in the red.

The average hedge fund fell a further 0.11% in July, extending its 2011 loss to 2.22%, according to Hedge Fund Research's HFRX Global Hedge Fund Index. Equity hedge and event-driven strategies and sub-strategies were especially hard-hit, while macro and relative value strategies offered something of a bright spot under the hot summer sun.

Macro funds, in particular, blossomed in July. The HFRX Macro Index added 1.27% while its systematic diversified benchmark soared 4.99%. Unfortunately, neither return was able to erase either strategy's considerable first-half losses; the former ended July down 0.9% for the year and the latter 1.73%.

Relative-value arbitrage funds were July's other winner, adding 0.26% (up 1.65% year-to-date). Multi-strategy relative-value arbitrage funds did even better, rising 0.58% (2.52% YTD), with only convertible arbitrage raining on the relative value parade with a  0.75% decline (up 0.88% YTD).

There was no good news anywhere else. Merger arbitrage funds dropped 0.85% on the month (up 0.23% YTD), equity hedge funds 0.84% (down 9.1% YTD), fundamental growth funds 0.71% (down 0.69% YTD) and event-driven funds 0.66% (up 0.77% YTD). Special situations funds lost 0.58% in July (up 1.65% YTD), equity market neutral funds 0.51% (up 2.2% YTD), fundamental value funds 0.44% (down 10.35% YTD) and distressed securities funds 0.42% (up 0.26% YTD).

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