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Hedge Funds Posted Sixth Straight Monthly Gain in August: HFR

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Hedge funds gained 0.4% in August, with year-to-date performance up 3.5%, Hedge Fund Research reported Thursday.

The HFRI Fund Weighted Composite Index has now posted gains for six consecutive months after recording losses in January and February.

The HFRI Asset Weighted Composite Index advanced 0.4% for the month and is up 0.5% for the year.

Event-driven strategies were the top performers in August, led by strong contributions from activist and distressed strategies. The HFRI Event-Driven Index gained 1.8% for the month, pushing year-to-date performance up by 6%.

Shareholder activist sub-strategies surged, adding 3.7% in August, following a gain of 3.1% in July. Distressed sub-strategies also recorded strong gains for the month, up 2.1%, and 8.1% year to date.

Equity hedge strategies also generated strong monthly returns, led by exposures to energy and basic materials. The HFRI Equity Hedge Index was up 1.3%, bringing the gain for the year to 3.4%.

The volatile energy/basic materials sub-index jumped 3.4% in August as oil surged, and has gained 16.7% in 2016.

The fundamental value sub-index advanced 1.7% in August, and the multi-strategy sub-index added 1.6%.

“In an environment dominated by demands for ultra-liquidity, a common performance theme is each of these leading strategies captures a liquidity premium over an intermediate timeframe by leveraging both fundamental and transactional specializations,” HFR President Kenneth Heinz said in a statement.

“Sophisticated investors and institutions which are able to assume these risks are likely to continue generating strong performance through 2H16,” he added.

Despite little change in both government and corporate high yield credit, fixed income-based relative value arbitrage strategies posted gains of 0.8% in August, bringing performance for the year so far to 4.9%.

Exposure to corporate bonds spearheaded relative value arbitrage sub-strategy performance, as the fixed income-corporate sub-index gained 1.4%, lifting the 2016 return to 8.2%.

The yield alternative sub-index advanced 1.2% in August, and leads relative value arbitrage sub-strategy performance year to date, up 12.5%. The convertible arbitrage sub-index gained 1.3% for the month, and is up 5.4% for the year.

The HFRI Macro (Total) Index fell by 1.6% in August, led by declines in quantitative, trend-following CTA strategies. The loss cut the year-to-date gain to 2%.

CTAs sustained losses across positions in both energy, which gained in a strong reversal from July, and fixed income strategies. The systematic diversified sub-index fell 2.9% in August.

Fundamental and discretionary macro strategies changed little last month, as the currency sub-index fell 0.3% and the commodity sub-index declined 0.4%, while the discretionary thematic sub-index gained 0.4%.

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