Hedge Funds Drop 3.47% Amidst Wide-Ranging August Losses

Sep 8 2011 | 1:50pm ET

August was an unforgiving month for all but one hedge fund strategy, according to Hedge Fund Research.

The HFRX Global Hedge Fund Index fell 3.47% last month, leaving it down 5.61% on the year. Twelve of the suite's 13 strategy indices followed the main index into the red, with only systematic diversified funds managing a gain, of 0.71% (down 1.03% year-to-date).

Equity hedge fund funds were particularly hard hit as the Standard & Poor's 500 Index fell almost 6% in August. Fundamental value funds lost an average of 7.53% (down 17.1% YTD) and fundamental growth funds 5.95% (down 6.6% YTD). Equity hedge funds overall lost 5.64% (down 14.22% YTD).

Event-driven funds shed 4.05% on the month (down 3.3% YTD), followed by distressed securities funds (down 4.03% in August, down 3.78% YTD) and special situations funds (down 3.69%, down 2.09% YTD). Relative value arbitrage funds lost 3.58% in August (down 1.98% YTD).

Among major strategies, only macro escaped most of the carnage, falling just 0.09% (down 0.99% YTD). Following the brutal month, only one HFRX index remains in positive ground for the year, multi-strategy relative value arbitrage funds, which are up 0.09% on the year after losing 2.37% in August.


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Editor's Note