August Hedge Fund Indexes

Filed in archive Hedgetalk on September 25, 2007

The RBC hedge 250 index showed a negative 1.7% return for August. According to RBC, the worst hedge fund strategy was macro, showing negative -4.4%, and the most profitable was fixed income arbitrage, recording a positive 0.78%.

Eurekahedge's hedge fund index was down 1.8% and its fund of hedge fund index fell by 2.56%. For Eurekahedge, arbitrage headed the field, with a 0.34% positive return. Managed futures were the tail-enders with a negative -2.74%.

For the Asian-specific indices, Eurekahedge's Japan index was down by -2.5%, trailing the Asian index, which was down by -1.95%.

"August was the most volatile and eventful month in the last five to seven years," says Mark Reinisch, director of fund of funds FRM. "This will undoubtedly lead to a re-assessment of weightings. People were risk tolerant going into the summer and the question is now, how risk averse will this make investors?"

FRM was down -1.77% in August, but had been strongly up in July, producing a net decline of just 10 basis points for those two months combined.