Hedge Funds Down 2.7% Through Mid-August

Aug 19 2011 | 4:47am ET

Hedge funds will need a rally to avoid another down month this summer, according to Hedge Fund Research.

While the average hedge fund has ably outperformed the broader markets during the dizzying swings of August, it looks like it will extend its losses for the year. The HFRX Global Hedge Fund Index was down 2.7% on the month through Aug. 15, bringing its year-to-date loss to 4.86%.

Most of the damage has been done among equity strategies, unsurprisingly. Equity hedge funds are down 4.53% through the middle of the month (down 13.22% year-to-date). Fundamental growth funds have had an even grimmer eighth month, down 5.34% (down 6% YTD), while fundamental value funds fell 4.93% (down 14.66% YTD).

Distressed securities funds lost an average of 3.48% during the first two weeks of the month (down 3.23% YTD). Both event-driven and relative value arbitrage funds fell 2.98% (down 2.23% and 1.38% YTD, respectively). Special situations funds lost 2.82% (down 1.22% YTD) and multi-strategy relative-value arbitrage funds 1.96% (up 0.51% YTD). Convertible arbitrage funds lost an average of 1.91% (down 1.05% YTD) and merger arbitrage funds 1.07% (down 0.84% YTD).

The only bright spots on the month—and they are dim enough—were macro strategies and systematic diversified funds. The former gained 0.29% (down 0.62% YTD) and the latter 0.88% (down 0.86% YTD) during the first half of August.


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Editor's Note