Little To Cheer About In HFRX Indices

Aug 11 2008 | 10:14am ET

The depth of the hedge fund industry’s July funk become clearer and clearer with each hedge fund index release.

Hedge Fund Research’s HFRX Indices show just one of eight strategies in the black last month, with three others falling by at least 2%. The bloodbath leaves just three of the strategy indices in positive ground for the year, while the other five are down by at least 4.5% year-to-date.

Overall, the HFRX Global Hedge Fund Index fell by 2.82% in July and is down 3.83% on the year. Merger arbitrage was the only strategy index to record a positive return last month, adding 0.44% (up 2.83% YTD), while equity-market neutral funds came close, declining just 0.03% (up 2.3% YTD).

Elsewhere, there was very little good news. Macro funds, still the best-performing strategy of 2008, according to HFR, fell 5.59% on the month (up 7.72% YTD). Equity hedge funds lost 3.45% (down 4.63% YTD) and convertible arbitrage funds lost 1.82% (down 8.39% YTD). Relative value funds remain the worst-performing strategy after losing 2.26% in July (down 10.03% YTD).

Distressed securities funds lost 1.48% (down 4.84% YTD) and event-driven funds 0.83% (down 4.81% YTD).

 


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