Hedge Funds Drop 2.88% In August

Sep 7 2011 | 11:49am ET

Hedge funds fell almost 3% last month, leaving the average fund down almost 4% on the year with just four months to go.

The Dow Jones Credit Suisse Core Hedge Fund Index lost 2.88% in August, the Credit Suisse Index Co. said. The benchmark is now down 3.76% on the year.

That actually represents something of a turnaround: The index was down 3.66% in the first 10 days of August.

"Despite challenging conditions throughout the month, hedge funds appeared to be effective in providing a degree of capital preservation when compared to global equity markets, which fell 7.69% as represented by the Dow Jones Global Index," CS Index Co. President Oliver Schupp said. "This outperformance is largely due to the strategic de-risking of many managers who began reducing net exposure in the weeks, or even months, preceding the correction."

Event-driven funds were the month's biggest loser, falling an average of 5.31% (down 8.06% year-to-date). Long/short equity funds dropped 3.56% (down 3.23% YTD), convertible arbitrage funds 3.46% (down 3.6% YTD) and emerging markets funds 3.45% (up 0.04% YTD).

Global macro funds lost an average of 1.84% on the month (down 5.95% YTD) and fixed-income arbitrage funds fell 0.66% (up 1.35% YTD).

One strategy did manage a positive return during August: managed futures, which rose 1.03%. That eliminated the strategy's year-to-date loss and left it up 0.02% on the year.

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