|S&P 500 Index*||-3.43%||-3.43%||-0.92%||Large-cap stocks|
|Nasdaq Comp.*||-7.83%||-7.83%||-5.79%||Large-cap tech stocks|
|Russell 1000 Growth||-5.65%||-5.65%||-3.07%||Large-cap growth stocks|
|Russell 1000 Value||-1.41%||-1.41%||2.47%||Large-cap value stocks|
|Russell 2000 Growth||-8.98%||-8.98%||-3.81%||Small-cap growth stocks|
|Russell 2000 Value||-4.60%||-4.60%||2.87%||Small-cap value stocks|
|EAFE||-3.23%||-3.23%||1.47%||Europe, Australasia & Far East Index|
|Lehman Aggregate||0.99%||0.99%||1.14%||U.S. Government Bonds|
|Lehman High Yield||1.36%||1.36%||2.74%||High Yield Corporate Bonds|
|Calyon Financial Barclay Index**||-1.11%||-1.11%||-4.97%||Managed Futures|
|3-month Treasury Bill||0.54%|
|All returns are estimates as of July 31, 2004. *Return numbers do not include dividends. **Returns as of July 29, 2004|
July was a terrible month for stock investors. Few sectors of the market were left untouched, leaving investors looking to their alternative investments for relief.
Unfortunately, most hedge fund managers didn’t fare well last month, either. They may not have lost as much as the indexes, but the number of funds reporting positive returns will likely be much smaller than the norm. The reasons for such tepid performance, however, are not directly related to the downdraft in stocks.
Take the level of stock market dispersion. This metric, which measures the extent to which the share prices of equities move in different directions, is sitting at a five-year low. As a result, equity prices are moving more in unison than in recent memory, which has transformed long-short equity books in directional market bets. The lack of dispersion made stock picking a nearly fruitless exercise.