Close Close
Popular Financial Topics Discover relevant content from across the suite of ALM legal publications From the Industry More content from ThinkAdvisor and select sponsors Investment Advisor Issue Gallery Read digital editions of Investment Advisor Magazine Tax Facts Get clear, current, and reliable answers to pressing tax questions
Luminaries Awards

Portfolio > Alternative Investments > Hedge Funds

Though Some Sectors Gain, August Hedge Funds Returns Remain Flat

Your article was successfully shared with the contacts you provided.

NEW YORK (–Hedge funds meandered back into positive return territory in August–but just barely, according to the CSFB/Tremont* Hedge Fund Index.

Hedge funds broadly finished the month up 0.14% after falling 0.31% in July. For the year through Aug. 31, all hedge funds tracked by the index were up 2.75%. The Standard & Poor’s 500 stock index returned 0.42% year-to-date through Aug. 31.

Of the 10 strategies tracked by the index, seven earned positive returns in August. Equity market neutral funds generated a 2.13% return, while emerging markets funds earned 1.83%. They were tops by far for the month. The next-best performing strategy was dedicated short bias, which earned 1.27%.

Short-bias fund managers caught a cold from rising equity markets after generating an 8.12% return in July, when equity markets fell close to 3%. For the year, they are up 9%, more than any other strategy, which seems logical given the weak performance of equity markets thus far. For the year through Aug. 31, the S&P 500 is up just 0.42%, while the Dow Jones Industrial Index is down 2.68% and the Nasdaq composite index is down 8.25%.

Long/short equity managers, who have been relatively flat all year, continued that trend in August. Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC, said market activity and the time of year had much to do with long/short managers’ 0.09% return in August.

“August was a volatile month in both the U.S. and European equity markets,” Mr. Schupp said. “Long/Short equity managers ended largely flat for the month, trading on very low volumes, which is typical at the end of summer.”

Event-driven strategies returned 0.45% in August and have returned 5.71% for the year, according to the index. The distressed substrategy was the top event-driven substrategy in August, turning in a 0.56% return. Event-driven multi strategy funds earned 0.38% and risk arbitrage managers earned 0.18%. Year-to-date, those three strategies are up 7.14%, 4.78% and 0.8%, respectively.

Multi-strategy fund managers earned 0.41% in August and are up 2.8% year-to-date. Convertible arbitrage rounded out the list of positive performers last month, earning 0.28% and has earned 0.55% for the year through Aug. 31.

Fixed-income arbitrage, global macro and managed futures fund managers all earned negative returns in August. Of those, managed futures performed worst, turning in negative 1.53%, which did nothing to help the strategy’s negative 7% return year-to-date. Global macro funds lost 0.75% in August but for the year are up 4.42%. Fixed-income arbitrage fell 0.41% in August and us up 4.67% during the first eight months of 2004.

“Increased volatility in the first half of the month generally helped statistical arbitrage managers garner profits,” said Robert I. Schulman, co-chief executive of Tremont Capital Management Inc., Rye, N.Y.*

Results for the CSFB/Tremont investable hedge fund index differed from those of the broader index. The investable index was down 0.34% in August and has produced a return of 0.46% year-to-date. Dedicated short-bias and emerging markets funds led the investable strategies last month, with returns of 2.14% and 2.07%, respectively.

Multi-strategy and equity market neutral investable funds earned returns of 0.31% and 0.27%, respectively, while convertible arbitrage managers managed a 0.18% gain. Event-driven managers were flat, while fixed-income arbitrage, global macro, long/short equity and managed futures all earned negative returns in the investable index.

For the year, only long/short equity and managed futures returns are negative in the investable index.

*Tremont Capital Management Inc., Rye, N.Y., is a strategic partner of and a minority investor in HedgeWorld.

[email protected]

Contact Bob Keane with questions or comments at: [email protected].


© 2024 ALM Global, LLC, All Rights Reserved. Request academic re-use from All other uses, submit a request to [email protected]. For more information visit Asset & Logo Licensing.