August witnessed big losses for hedge fund strategies across the board, with the Absolute Return Composite Index down 0.90%, its second consecutive month in negative territory. Only three strategies produced gains, with mortgage-backed securities leading the way, up 0.80%.
ABSOLUTE RETURN STRATEGY INDICES
|
Strategy |
Aug 07 |
YTD |
|
Arbitrage |
0.14% |
4.78% |
|
Commodities |
-1.57% |
5.45% |
|
Convertible & Equity Arbitrage |
-0.96% |
2.59% |
|
Credit |
0.00% |
5.04% |
|
CTAs |
-2.21% |
0.10% |
|
Distressed |
-0.70% |
4.51% |
|
Event Driven |
-1.77% |
5.40% |
|
Fixed Income |
-0.87% |
3.50% |
|
Global Equity |
-1.78% |
6.57% |
|
Latin American Debt |
-1.41% |
5.54% |
|
Latin American Equity |
-2.12% |
9.77% |
|
Macro |
-0.16% |
8.15% |
|
Mortgage Backed |
0.80% |
4.40% |
|
Multistrategy |
-0.92% |
6.10% |
|
Technology |
0.70% |
7.59% |
|
US Equity |
-0.07% |
6.34% |
|
Absolute Return Composite |
-0.90% |
5.85% |
Source: Absolute Return