9 Sep 2010
Financial market performance in the month of August was dominated by the strong rally in government bonds in response to an increase in investor risk aversion and lowering of expectations with regard to the strength of the global economic recovery. In addition to the falling yields, yield curves flattened while equity markets declined, and both the Japanese Yen and Swiss Franc gained against the US dollar. The HFRI Fund Weighted Composite Index gained +0.38% for August, with strong performance in Macro and Relative Value Strategies only partially offset by weakness in Equity Hedge and Event Driven funds.
The HFRI Macro Index gained +2.16% as strong gains in systematic, trend following strategies were complemented by more moderate gains in discretionary Macro strategies. The HFRI Macro: Systematic Diversified Index gained +3.65% with a strong contribution from fixed income and short term trending models, although generally most areas of focus had positive contributions for the month. Discretionary Macro strategies posted gains across fixed income and commodity areas of portfolio focus.
The HFRI Equity Hedge Index declined by -0.92%, partially offsetting strong gains from July and bringing YTD performance for Equity Hedge to a decline of -0.70%. Performance losses were distributed across most sub-strategies, with the largest declines in Fundamental Value, also complementing losses across Fundamental Growth, Quantitative Directional, Equity Market Neutral and Equity Market Neutral strategies. Funds in dedicated Short Bias and Sector Technology had partially offsetting positive contributions to Equity Hedge performance.
Relative Value funds continued to build on strong performance over the last 19 months, with the HFRI Relative Value Index gaining +0.81% in August. Gains were driven by falling yields and continued tight credit spreads, but these were complemented by funds which maintain exposure to Volatility. Convertible Arbitrage and RV: Volatility posted the strongest sub-strategy gains while Yield Alternative and Real Estate funds had partially offsetting negative contribution to index performance.
The HFRI Event Driven Index posted a narrow loss of -0.07% for the month, only slightly offsetting strong July gains. Arbitrage strategies including Merger and Credit Arbitrage posted gains for the month, in addition to gains from ED: Special Situations. Gains in these were offset by weakness in Activist, Distressed and Private Issue/Regulation D funds.
Both the HFRI Fund of Funds Index and the HFRI Emerging Markets Index were essentially flat for the month, with both posting a gain +0.01%.
The HFRI Macro Index gained +2.16% as strong gains in systematic, trend following strategies were complemented by more moderate gains in discretionary Macro strategies. The HFRI Macro: Systematic Diversified Index gained +3.65% with a strong contribution from fixed income and short term trending models, although generally most areas of focus had positive contributions for the month. Discretionary Macro strategies posted gains across fixed income and commodity areas of portfolio focus.
The HFRI Equity Hedge Index declined by -0.92%, partially offsetting strong gains from July and bringing YTD performance for Equity Hedge to a decline of -0.70%. Performance losses were distributed across most sub-strategies, with the largest declines in Fundamental Value, also complementing losses across Fundamental Growth, Quantitative Directional, Equity Market Neutral and Equity Market Neutral strategies. Funds in dedicated Short Bias and Sector Technology had partially offsetting positive contributions to Equity Hedge performance.
Relative Value funds continued to build on strong performance over the last 19 months, with the HFRI Relative Value Index gaining +0.81% in August. Gains were driven by falling yields and continued tight credit spreads, but these were complemented by funds which maintain exposure to Volatility. Convertible Arbitrage and RV: Volatility posted the strongest sub-strategy gains while Yield Alternative and Real Estate funds had partially offsetting negative contribution to index performance.
The HFRI Event Driven Index posted a narrow loss of -0.07% for the month, only slightly offsetting strong July gains. Arbitrage strategies including Merger and Credit Arbitrage posted gains for the month, in addition to gains from ED: Special Situations. Gains in these were offset by weakness in Activist, Distressed and Private Issue/Regulation D funds.
Both the HFRI Fund of Funds Index and the HFRI Emerging Markets Index were essentially flat for the month, with both posting a gain +0.01%.
