Hedge funds had a positive month in August, but one that still managed to bitterly disappoint.
The Lyxor Hedge Fund Index rose 0.4% last month, and 11 of its 14 strategy benchmarks also posted gains. But the Standard & Poor's 500 Index rose almost 2% in August, and is up much more than the average hedge fund this year, about 12%.
"While not outright good news, less negative economic news has been supportive as expectations had already been significantly adjusted downwards," Lyxor Asset Management's Stefan Keller, who heads its managed account platform research, said. "This ‘second derivative trade’ has started to be implemented by hedge fund managers, which were able to benefit from better market conditions."
Lyxor said its long/short credit arbitrage, long/short credit and long-bias equity indices did best last month, with each rising by 1.5% (long/short credit is up 5.1% year-to-date and long bias 7.1% YTD). Fixed-income arbitrage and global macro added 1.2% (7.2% YTD). Special situations and market neutral funds funds rose 1.1%, while distressed funds added 0.6%. Merger arbitrage and long/short equity statistical arbitrage added 0.4%, variable bias 0.3%.
The losers in August were commodity trading advisors and CB arbitrage funds. The latter lost 0.6%. Short-term CTAs fell 0.8% and long-term 1.7%.