RBC Hedge Fund Index Down 0.14% In July

Aug 14 2007 | 10:33am ET

The RBC Hedge 250 Index declined slightly in July, but the declines were broad-based, with five of nine substrategies in the red for the month.

The overall index fell just 0.14%, and remains up 6.82% year-to-date. Both numbers compare quite favorably to the Standard & Poor’s 500, which fell by more than 3% and is up just over 3% through July.

While broad-based, July’s pain was hardly evenly spread out. Managed futures funds took the biggest hit, dropping 2.03% on the month (up 2.2% YTD). Convertible arbitrage also suffered through a difficult month, losing 1.38%; it's now essentially flat (up 0.01% YTD) in 2007.

Event-driven credit funds sank 0.93% in July (up 0.32% YTD), multi-strategy fell 0.39% (up 0.46% YTD) and macro funds dropped 0.08% (up 1.23% YTD).

On the plus side, fixed-income arbitrage led the way with a 1.86% return (3.82% YTD). The other top strategies were all up less than 1%: equity market-neutral (up 0.73% in July, 6.99% YTD), mergers and special situations (0.45%, 11.09% YTD) and equity long/short (0.33%, 8.12% YTD).


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