NEW YORK (HedgeWorld.com)–The CSFB/Tremont* Hedge Fund Index was up only slightly in August, lacking enough power to outperform the Standard & Poor’s 500 stock index and the MSCI EAFE or even the Dow Jones Industrial Index.
Most hedge fund strategies posted meager returns in August, while emerging markets strategies broke out of the summer doldrums to lead the CSFB/Tremont index last month, and for the year through Aug. 31, with a return of 17.07%. For the month of August, emerging markets managers enjoyed a gain of 2.98%, while most strategies ended the month at 1% or less in percentage gains.
Emerging market funds also topped the CSFB/Tremont Investable Hedge Fund Index, which is up 0.62% for the month. This is the first full month of performance for the investable index, and its returns are pretty much in line with the broader CSFB/Tremont index. The investable index is comprised of 60 funds across 10 style-based sectors, while the original index includes the TASS and CSFB/Tremont databases that have more than 3,000 hedge funds but that only include 444 funds as of Aug. 1.
Yielding positive returns of 1% or more in August in the non-investable index are: distressed, risk arbitrage, global macro, long/short equity and managed futures. The categories of equity market neutral, event-driven and the subcategory of event-driven multi-strategy, fixed-income arbitrage and multi-strategy all had positive performance of less than 1%.
Convertible arbitrage and dedicated short-bias managers continue to struggle. Convertible managers lost 0.91% in August but still have a positive return of 6.79% for the year-to-date. For dedicated short-bias managers, not much of a turnaround is in sight with a loss of 1.44% for the month that brings the strategy’s year to-date-returns to a decidedly negative 22.27%.
Overall, the CSFB/Tremont index has returned 170.51% since its January 1994 inception. The underlying constituents remain the same except for the Dexia Optiomat (Euro), a French-based managed futures fund, which was dropped due to its liquidation.
In the investable index, the only noticeable differences are that the multi-strategy funds actually had a negative performance of 0.13% in August, and both convertible arbitrage and dedicated short-bias managers lost slightly more with negative returns of 1.33% and 1.59%, respectively.
*Tremont Capital Management Inc., Rye, N.Y., is a strategic partner of and a minority investor in HedgeWorld