August caught many funds off guard as volatility struck and funds begun to delever. Only a handful of strategies tracked by Absolute Return managed to post positive returns, according to preliminary results. The Absolute Return Composite Index fell an estimated 0.84%, its second consecutive monthly decline, finishing up 5.12% for the year so far.
After a slight dip in performance in July, the Absolute Return Mortgage-Backed Securities Index was back on track and also the strongest performing strategy for the month, up 0.81%. The Technology and Arbitrage indexes also rose, up 0.80% and 0.47% for the month, respectively.