Final performance for the Credit Suisse/Tremont Hedge Fund Index was up 2.54% in July. The last time hedge funds posted stronger YTD performance to July was in 1998. The Credit Suisse/Tremont Hedge Fund Index is up 9.90% YTD. Convertible arbitrage continued to lead all sectors in performance with a return of 5.80% in July, bringing YTD performance to 31.14%.
As companies continued to look to the convertible market as a preferred source of financing, many managers believed the opportunities in this strategy remain strong. Other notable sectors for July included emerging markets, which finished up 3.83% as an increase in foreign investment inflows and appreciating currencies helped bolster performance. The index does not underweight top performers and overweight decliners to provide an accurate representation of the hedge fund universe.
The Dow Jones Hedge Fund Equity Long/Short Strategy Benchmark was the best performing at the end of July: up 1.47% for the month; up 2.31% YTD. The Dow Jones Hedge Fund Event Driven Strategy Benchmark was the second best performing in July (1.35% for the month; 7.69% YTD). The Dow Jones Hedge Fund Equity Market Neutral Strategy Benchmark was the third best performing (0.27%; -3.11% YTD). The Dow Jones Hedge Fund Balanced Portfolio Index, the Dow Jones Hedge Fund Distressed Securities Strategy Benchmark and the Dow Jones Hedge Fund Convertible Arbitrage Strategy Benchmark were not calculated in July. The Dow Jones hedge fund strategy benchmarks are designed as a measurement tool for individual hedge fund strategies and cover convertible arbitrage, distressed securities, equity market neutral, event-driven, equity long/short and merger arbitrage. The Dow Jones Hedge Fund Balanced Portfolio Index represents the overall benchmark.
The Frontier Capital Multi Asset Platform (MAP) Fund returned a positive 3.7% in July 2009 with all eight asset classes showing positive returns. Emerging equities rose 11.2%, global real estate was up 8.9% and global equities rose 7.5%. The worst performing asset class was managed futures, up 0.6%, followed by global bonds which rose 1.0%. Over the five years to July, the MAP strategy has generated 3.4% annualised returns with volatility of 9.3%. MAP is an investable fund tracking eight global asset class indexes using an asset allocation inspired by US university endowments such as Harvard and Yale.
Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) improved in July to their highest levels of the year. GGHFI returned 2.31% while Greenwich Composite Investable Index (G12) rose 0.70% compared with global equity indexes returns in S&P 500 Total Return (7.56%), MSCI World Equity (8.37%) and FTSE 100 (8.45%). YTD GGHFI has returned 11.78% and GI2 is up 0.40% compared to S&P 500 Total Return (10.96%), MSCI World Equity (13.53%) and FTSE 100 Indexes (3.93%). 76% of funds in GGHFI ended the month with gains. Market neutral funds enjoyed their second best month of the year, with event driven gaining 3.11% and arbitrage 2.66%. Convertible arbitrage funds continued to outperform all other hedge fund strategies, up 6.00% and advancing above 33% YTD. Distressed (3.02%) and special situations (4.37%) were the best event-driven funds.
The overall HFRX Global Hedge Fund Index was up 0.37% for July and 8.46% YTD. The Relative Value Index was the best performer in July among the HFRX Single Strategy Indexes with 0.86% for the month followed closely by the macro index, with an ROR (rate of return) of 0.85%. The convertible arbitrage index reported a poor performance for the sector, with an ROR down 2.26% for the month, followed by the equity market neutral index with an ROR of -1.94% for July. The distressed securities index has been the best performer this year to the end of July with 12.28%, followed by the event driven index up 10.92% and the equity hedge index rising 10.70%.
The Lyxor Global Hedge Fund index was up in July. Since the beginning of the year, the index is up 3.24%. The normalisation of market conditions trumps persistent trends. Event-driven funds registered a mixed performance in July. Merger arbitrage was flat, special situations added 2.21% and distressed was down 1.49%. Within equity market strategies only the long-biased managers were able to monetise the current environment (2.56%). Variable managers were flat (0.84%) while strategy arbitrage (-2.28%), market neutral funds (-1.36%) and short-biased strategies (-5.59%) were hit. Convertible arbitrage managers were up 3.46% while credit arbitrage funds posted extremely strong results (6.11%). Both strategies benefited from the important tightening in credit spreads, especially in high yield. Fixed-income arbitrage performed well (1.18%). Within the CTA segment the divergence between long-term trend followers (-1.74%) and short-term high-frequency systems (2.90%) was again evidenced. Persisting short positions in the equity sector and long exposure to bonds generated substantial losses. Global macro funds were up 1.43% in July.
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All tables' hedge fund performance statistics are for period ending July 31, 2009 (data reported to August 26, 2009). All statistics at a glance are for period ending July 31, 2009 (data reported to August 26, 2009). All 36-month performance is annualised.
- Please note the data in the Eurekahedge graphs and for the tables thereafter are based on 84.7% of the NAV returns for July 31, 2009, as at August 26, 2009. The positive- and negative-months columns show the number of gaining and losing months in the previous 12. Some fund names have been abbreviated for reasons of space, for example 'Ltd' or 'LLP' being removed from end of a fund's name. Similarly Dighton World Wide Fund (in CTA strategy) has 2X and 2X leveraged programs - please check with manager for full name/details of fund. The symbol (??) represents the total number of funds (in each strategy) that report their performance data to Eurekahedge. To submit your fund's or funds' data to Eurekahedge contact Agnes Yea at [email protected]