NEW YORK (HedgeWorld.com)–The market favored short sellers last month, according to return data reported in the CSFB/Tremont* Hedge Fund Index.
While the overall hedge fund index is down a negligible 0.31% last month, dedicated short-bias managers gained 8.12% thanks to ideal positioning as the market moved away from lower quality and distressed companies, said Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC, in a statement.
Playing into short seller’s hands, July was characterized by lower volumes during the start of the second-quarter earnings seasons, he said. For the year, short sellers remained the best performers with a year-to-date return through July 31 of 7.73%.
For the year, the CSFB/Tremont Hedge Fund Index gained 2.61%, while the Standard & Poor’s 500 stock index is up only 0.02%.
Of the nine hedge fund investment categories and three sub-categories only five posted positive returns in July. Besides dedicated short-bias, the strategies with upbeat performance last month were: global macro, 0.82%; fixed-income arbitrage, 0.70%; distressed, 0.52%; and equity market neutral, 0.31%.
Event driven strategies reported a return of 0.0% for the month, leaving the year-to-date performance in line with most of the other hedge fund strategies at 5.23%.
Other index categories had slightly negative performance in July, with managed futures as the worst performer, losing 1.95%, and posting the bleakest year-to-date performance of negative 5.54%.
The CSFB/Tremont Investable Hedge Fund Index was down 0.12% net in July, with dedicated short-bias managers still on top with a positive return of 5.56%. For the year-to-date, the investable index’s return is slightly higher than its non-investable counterpart at 0.84%
The non-investable index had some additions and subtractions during July. Officials report 14 funds were added, while two were dropped.
The new funds are: Context Convertible Arbitrage Offshore Ltd., Systeia Convertible Arbitrage, TRG Global Opportunity Master Fund Ltd., Systeia Statistical Arbitrage, Titan Asia Volatility Fund Ltd., Equalt Pair Trading Fund, Kayne Anderson Capital Income Partners, Veritas High Yield Arbitrage Fund (Bermuda) Ltd., Laurus Master Fund Ltd., Kinetics Fund, Copper Beech Fund, Optima The Platinum Japan Fund Ltd., Green Coast, and Generation Japan Master Fund (Cayman) LP. Funds dropped were: Dancing Bear Offshore Fund and Dancing Bear Partners LP. There also were some technical adds and drops as a result of the aggregation of various share classes of the same fund into a composite vehicle, according to officials.
The CSFB/Tremont Hedge Fund Index totaled 401 funds as of July 1.
*Tremont Capital Management Inc., Rye, N.Y., is a strategic partner of and a minority investor in HedgeWorld
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