Wednesday, 20 August 2014
Last updated 1 hour ago
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).
Aug 4 2014 | 7:42am ET
By now, U.S. and international subscribers have received their home or office delivery of the special 500th issue of Futures magazine. You can too!—a very special offer follows. The issue is the largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders. Read more…
The July/August 2014 issue is our largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders.
The Alpha Pages Editor's Note