HFRI Shows Quiet July

Aug 16 2007 | 12:18pm ET

Hedge Fund Research’s HFRI Fund Weighted Composite Index posted positive returns for July in spite of the subprime mess and sinking equities markets.

The index added 0.45% on the month, and is up 7.95% year-to-date. Almost all subindices were within one percentage point of flat for the month.

The top performers were emerging markets (up 3.19% in July, 18.03% YTD) and macro (1.36%, 6.93% YTD). Equity hedge was also in the black (0.48%, 8.63% YTD).

Relative value arbitrage had the toughest month (down 0.81%, up 5.66% YTD). Other losers included merger arbitrage (down 0.56%, up 5.69% YTD), distressed securities (down 0.4%, up 6.68% YTD) and convertible arbitrage (down 0.21%, up 4.43% YTD). Event-driven was essentially flat (down 0.08%, up 8.32% YTD).

By contrast, the HFRI Fund of Funds Composite Index and its five subindices were all in positive ground on the month, though none exceeded 1%. The main FoF index was up 0.43% in July (8.32% YTD).

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