Emerging Markets, Macro Funds Battered In July

Aug 19 2008 | 9:59am ET

As with most hedge fund indices in July, Hedge Fund Research’s HFRI Indices offer very little in the way of good news.

The overall HFRI Fund Weighted Composite Index fell 2.17% last month and is down 3.43% on the year. Just five HFRI substrategies were in the black in July, and just seven have positive returns in what has been a very bleak year-to-date.

Macro funds lost 2.78% on the month (up 3.71% year-to-date) and equity hedge funds declines 2.63% (down 6.29% YTD). Event-driven funds fell by 1.33% (down 3.61% YTD) and relative-value funds by 0.36% (down 1.72% YTD). Emerging markets funds continued to have difficulty in 2008, falling by 3.07% in July to bring their year-to-date loss to 9.76%.

Among substrategies, energy and basic materials funds were the biggest losers with an average decline of 6.97% (down 3.58% YTD), followed by systematic diversified funds, which fell 3.9%, but remain the year’s second-best performer with year-to-date return of 7.65%. Russia and Eastern Europe was the worst-performing region among emerging markets, with a 7.05% drop (down 10.69% YTD).

The only strategies in the black in July were fixed-income asset-backed relative value funds (up 1.31% in July, up 3.22% YTD), yield alternatives funds (up 0.55%, down 2.55% YTD), merger arbitrage funds (up 0.37%, down 0.22% YTD), private issue/Regulation D funds (up 0.29%, up 1.14% YTD) and short bias funds (up 0.07%, up 10% YTD).

Funds of hedge funds fell 2.73%, and are now down 5.03%, according the HFRI Fund of Funds Composite Index.


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