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

JOBS Act Propels Real-Estate Crowdfunding Platform

Oct 21 2014 | 2:57am ET

If D.J. Paul were a real estate development, he would be described as “multi-use...

Lifestyle

Strippers Accused Of Robbing Hedge-Fund Manager Face Jail

Oct 20 2014 | 9:20am ET

A group of alleged stripper-thieves—whose victims include a hedge-fund manager...

Guest Contributor

PAAMCO: European Equity Exposure - Challenging Year, But All is Not Lost

Oct 16 2014 | 4:12am ET

European equity hedge fund managers have had a tough time so far this year. The...

 

Videos

Editor's Note

    Must Attend Hedge Fund Charity Events For October

    Sep 30 2014 | 9:29am ET

    The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. Read more…

 

Futures Magazine

October 2014 Cover

Deeply flawed risk benchmark

Most traders agree that proper risk management is the key to successful trading. However, many traders depend on the deeply flawed measure of standard deviation as a benchmark of risk. Here we put it ...

The Alpha Pages

TAP July/August 2014 Cover

The Alpha Pages Interview: Senator Rand Paul

Senator Paul sat down in the debut series of the Alpha Pages Interview to discuss the broken tax code, regulation surrounding Bitcoin, and his plans for the 2016 Presidential election.