HFRX: Relative Value Only Strat In The Black In July

Aug 8 2007 | 10:26am ET

Hedge Fund Research’s HFRX Index report for last month is in, and it’s covered in red.

Just two of the 20 indices and subindices tracked by HFR were up during a brutal July, as the sub-prime mortgage troubles began to seep into the credit markets generally and stocks took a beating. The flagship HFRX Global Hedge Fund Index sank 0.93% on the month (up 5.4% year-to-date); the only indices in positive ground were the Absolute Return Index at 0.35% (6.39% YTD) and the relative value arbitrage strategy index, up a healthy 1.65% (6.36% YTD). On the bright side, all of the HFRX indices remain in positive ground year-to-date.

As for the much more numerous losers, macro “led” the way in matching the Standard & Poor’s 500’s decline in July; it fell 3.13% and is now up just 0.43% on the year. Merger arbitrage was the other big loser, dropping 2.14% in July (up 3.64% YTD). Distressed securities declined by just 1.13% (up 4.54% YTD). Equity hedge fell 1.4% (up 5.66% YTD), event-driven 0.74% (up 8.25% YTD, tops among individual strategies), convertible arbitrage 0.73% (up 2.21% YTD) and equity market-neutral 0.42% (6.21% YTD). In addition, all eight of the HFRX Global Currency Indices were down, anywhere from a decline of 0.59% to a drop of 1.24%.

Among its Global Indices, market directional was the big loser, falling 1.82% (up 6.14% YTD). Its Equal Weighted Strategies Index did not much better than most of its strategies, shedding 0.65% (up 5.11% YTD).


In Depth

Fundraising for Mid-Sized PE Funds: Should You Use a Registered B/D?

Dec 6 2016 | 7:18pm ET

When does a fund sponsor need to use a registered broker/dealer when raising capital...

Lifestyle

Trump Attends 'Villains and Heroes' Costume Party Dressed As...Himself

Dec 5 2016 | 11:16pm ET

U.S. President-elect Donald Trump attended a "Villains and Heroes" costume party...

Guest Contributor

Nowhere to Hide: Why the Future of Asset Management Depends on Innovation

Nov 15 2016 | 6:55pm ET

Information technology has reshaped the asset management industry’s periphery,...

 

From the current issue of

Since the inception of Modern Trader, a core editorial theme has centered on the wisdom and power of crowds. Editorial emphasis has focused on companies and projects engaged in the collection and analysis of information. 

AVAILABLE NOW at BARNES & NOBLE

NEWSTAND LOCATOR