NEW YORK (HedgeWorld.com)–After going into the red in July, the Standard & Poor’s Hedge Fund Index was positive for August, up 0.16%, buoyed by arbitrage and event-driven funds, with the distressed strategy as the best performer.
The event-driven portion, which covers merger arbitrage, distressed and special situations, gained 0.26%. Arbitrage strategies made 0.27%, despite negative performance by fixed-income vehicles. Convertible arbitrage returns, at almost 1% for the month, also boosted the index and equity market neutral showed strong performance as well.
But directional strategies continued to weigh down the measure, losing another 0.05% after a 1.4% loss in July Previous HedgeWorld Story.
According to S&P, the August decline in the directional sub-index is mainly due to the managed futures component. “After gaining in the early part of August, many of the managers were hurt with the reversal of an extended up-trend in energy futures,” S&P senior hedge fund analyst Charles Davidson said in a statement.
“This, combined with another reversal in the currency markets that saw the dollar strengthening against the yen and euro, led to negative performance in the second half of the month,” he said.
The other directional-tactical segments, macro and equity long/short, were slightly positive for August. But a broader measure of equity returns, the S&P Equity Long/Short Index, declined 0.25%. Trading returns in U.S. markets contributed two-thirds of the losses in this strategy.
Year to date through Aug. 31, the index as a whole was down 0.04%.
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