Investable indexes: August 2010 returns

The May 2010 returns for investable indexes including the Dow Jones Credit Suisse Hedge Fund Index, Frontier Capital Multi Asset Platform Fund versus the indexes, Hedge Fund Research Indexes and Lyxor Alternative Index.

Dow Jones Credit Suisse
The Dow Jones Credit Suisse hedge fund index was up 0.23% in August and has put in a postive 2.46% year-to-date (YTD). Most strategies were up for the month with dedicated short bias funds the stand-out performers with a return of 5.15%. Managed futures funds were not far behind, returning 4.87% for August after a disappointing July. Convertible arbitrage up 1.35%, fixed income arbitrage rising 1.24% and global macro funds putting in a positive 1.48% all performed well. YTD fixed income arbitrage was the strongest performer with returns of 8.11%. Equity market neutral funds down 1.55% and long/short equity lost 1.12% for August. Event driven funds were also in negative territory, losing 0.4% in August.

Frontier Capital
The Frontier Capital Multi Asset Platform (MAP) Fund returned 0.1% in August 2010 with four of the eight asset classes showing positive returns. Managed futures was the best-performing asset class up 3.5%, followed by emerging bonds up 2.5% and global bonds up 1.7%. The worst-performing asset classes were global equities down 3.4%, followed by commodities down 2.2%. Over the five years to August 2010, the MAP strategy has generated annualised returns of 1.8% with volatility of 9.5%. The MAP Fund is an investable fund tracking eight global asset class indexes using an asset allocation inspired by US university endowments such as Harvard and Yale.

 

 

Greenwich
The Greenwich Global Hedge Fund Index (GGHFI) was up 0.5% in August and 7.1% year-to-date (YTD). The Greenwich Investable Index with monthly liquidity was up slightly less with a return of 0.29% for August while the investable index with quarterly liquidity posted a return of 0.39%. Of the sub-indexes the futures index had the highest returns for August of 3.6% followed by arbitrage funds with a return of 1.9%. Both macro and long/short credit funds were also in positive territory for the month, returning 0.06% and 0.5% respectively. The other sub-indexes posted losses. Event driven funds were down 0.1% while the long/short equity index lost 0.28%. The equity market neutral index was the weakest performer in August, ending the month down 1.05%.

 

Hedge Fund Research
The global HFRX hedge fund index was up 0.17% in August and 0.18% year-to-date (YTD). Convertible arbitrage proved the most resilient strategy over the month returning 1.56%, closely followed by macro with a positive 1.45% return. Macro continues to struggle on a YTD basis with losses of 1.53%. Relative value funds made positive returns in August, posting 0.7%, while merger arbitrage returned 0.02% to bring YTD returns to 1.19%. Other strategies did less well. Distressed securities lost 0.09% during the month. Equity hedge returned  negative 0.41% and event driven was down 0.43%. Equity market neutral was August’s worst performer, losing 3.78% in the month.

 

Lyxor
The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform tracking the overall hedge fund universe, was up 0.05% in August, lifting year-to-date (YTD) gains to 0.8%. Equity markets were severely hit in August as major economic indicators faltered. Long/short equity managers were down by 1.5% in the long bias segment and by 1% in the variable bias segment. Selling pressure hit stocks across the board in August, resulting in extreme correlation levels. This was detrimental to statistical arbitrage funds, down by 1.4% in August. Merger arbitrage fared much better, up by 0.3%, as merer and acquisition activity picked up. Long/short credit managers gained 0.8%, confirming that credit is this year’s best performing strategy with YTD returns of 8.5%. Convertible bond managers additionally benefited from their equity hedges and gained 1.9%. The long bonds theme was also profitable for global macro and long-term CTA managers. Performance was 0.6% and 3.9%, respectively.