August wasn’t such a hot month for hedge funds, according to a pair of indices. Hedge Fund Research’s HFRX Global Hedge Fund Index showed the average hedge fund down 2.55% on the month, while HedgeFund.net’s HFN Hedge Fund Aggregate Average fell 1.26%.
Year-to-date, however, the numbers are somewhat different, with the HFRX index showing the average hedge fund up 2.71% in 2007 and the HFN index showing a more optimistic 6.28% return this year. Still, HFN said the decline was the largest monthly drop in over a year.
All of HFN’s subindices, with the exceptions of its equity market neutral (up 1.32% in August, 6.07% YTD), macro (0.92%, 7.5% YTD) and U.S. (0.04%, 6.21% YTD) averages, were in the red, while the only HFRX index in the black was merger arbitrage (0.94%, 4.61% YTD).
“Leading” the losers in the HFN index were energy sector hedge funds (down 4.66% in August, up 7.63% YTD), emerging markets (down 3.57%, up 10.81% YTD) and convertible arbitrage (down 2.36%, up 1.83% YTD). Latin America funds remained the best performing funds on the year at 17%, in spite of a 2.06% decline last month.
Meanwhile, HFRX’s macro index was the worst performer in August, dropping 7.38%. It is also the only HFRX index in the red year-to-date, down 6.98%.