HFRI Monthly Indices Performance (FLASH UPDATE)
August 2012 performance notes


HEDGE FUNDS EXTEND SUMMER GAINS ON EURO OPTIMISM


Equity Hedge, Event Driven lead HFRI to 3rd consecutive monthly gain; Macro: Systematic/CTA lag in August after strong July

CHICAGO (September 10, 2012) - Hedge funds posted gains for the 3rd consecutive month in August, as the Euro advanced on optimism for a resolution of the European sovereign debt crisis. The HFRI Fund Weighted Composite Index posted a gain of +0.8 percent for the month, with leadership across Equity Hedge, Event Driven and Relative Value strategies, with each of these also posting their 3rd consecutive monthly gain, reported HFR today, the global leader in the indexation, analysis and research of the global hedge fund industry.

Equity Hedge funds had the strongest contribution to overall industry performance, with the HFRI Equity Hedge Index gaining +1.2 percent for the month. Gains were broad-based across the strategy, with Quantitative Directional, Fundamental Value and Fundamental Growth all gaining between +1.25 and +1.6 percent. Other EH strategies had positive contributions to August gains, with Equity Market Neutral, Energy and Technology-focused funds gaining between +0.6 and +1.2 percent; Short Bias funds detracted from performance. Event Driven funds posted gains similar to those of Equity Hedge, with the HFRI Event Driven Index gaining +1.1 percent. ED gains were led by the equity-sensitive Special Situations and credit-sensitive Distressed sub-strategies, with both gaining over +1.0 percent in August.

Fixed income-based Relative Value Arbitrage posted a gain despite rising yields, with spread tightening and effective hedging contributing to the HFRI Relative Value Index gaining +0.9 percent; the August gain is the 8th in the last 9 months and RVA has posted positive performance in 37 of 44 months since December 2008. Relative Value sub-strategies of Volatility, Yield Alternatives and Asset-Backed had significant contributions to RVA performance. Macro hedge funds posted a decline for the month, partially offsetting strong July performance, with the HFRI Macro Index declining by -0.16 percent. Macro performance also reflected dispersion across various sub-strategies; the HFRI Macro: Systematic Diversified/CTA Index declined by -0.9 percent and Currency strategies declined by -0.6 percent on the Euro advance; however, Macro Discretionary strategies gained over +1.0 percent while Commodity funds gained +1.9 percent.

Fund of Funds advanced for the 2nd consecutive month, with the HFRI Fund of Funds Composite Index gaining +0.64 percent in August. Emerging Markets hedge funds also had positive contribution to industry performance, with the HFRI Emerging Markets Index gaining +1.06 percent.

"Hedge funds were tactically positioned for the equity, fixed income and commodity developments in August, with many funds having strategically increased equity net exposure, reduced short Euro currency positions and appropriately hedged fixed income exposure through mid-summer," stated Kenneth J. Heinz, President of HFR. "While funds remain cognizant of the potential for an adverse market reaction in the ongoing European banking and sovereign debt crisis, recent developments have been constructive. As a result, hedge funds have modified defensive positioning to consider a continuum of positive and negative scenarios, increased optionality and volatility implications of the Euro sovereign debt crisis, as well as a broadening of focus to include the US elections and Chinese growth considerations."

Comments reference Flash Update performance figures as posted on September 10, 2012.


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August 2012
 
Total Return
1 Year
3 Year Annualized
HFRI INDICES
August 2012
YTD
1 YR
3 YR
STD*
ShR**
ROR
STD*
ShR***
ROR
Index Value
HFRI Fund Weighted Composite Index 0.76% 10753.91 3.49% 0.31% 14.01% 7.00% 0.07 4.47% 6.27% 0.72
HFRI Equity Hedge (Total) Index 1.18% 14887.51 3.53% -0.93% 11.30% 11.16% -0.04 3.63% 9.09% 0.43
HFRI EH: Equity Market Neutral Index 0.63% 4499.55 2.22% 1.37% 3.32% 3.95% 0.35 1.09% 3.09% 0.34
HFRI EH: Quantitative Directional 1.58% 13110.91 5.43% 2.76% 11.56% 9.54% 0.32 3.71% 8.28% 0.47
HFRI EH: Sector - Energy/Basic Materials Index 1.20% 13270.64 -5.09% -15.07% 4.19% 19.52% -0.74 1.38% 15.47% 0.16
HFRI EH: Sector - Technology/Healthcare Index 0.58% 18424.12 4.26% 3.27% 24.69% 7.38% 0.46 7.63% 7.20% 1.05
HFRI EH: Short Bias Index -3.57% 956.60 -9.82% -9.29% -32.23% 11.44% -0.80 -12.16% 12.35% -0.99
HFRI Event-Driven (Total) Index 1.14% 11808.94 3.96% 1.46% 21.59% 6.84% 0.23 6.73% 6.35% 1.05
HFRI ED: Distressed/Restructuring Index 1.05% 12741.63 4.23% 1.98% 26.45% 6.60% 0.32 8.14% 6.13% 1.30
HFRI ED: Merger Arbitrage Index 0.27% 6520.48 1.39% 2.23% 11.16% 1.85% 1.17 3.59% 2.13% 1.63
HFRI ED: Private Issue/Regulation D Index 0.76% 5735.04 1.76% -1.54% 19.32% 5.46% -0.27 6.07% 6.60% 0.91
HFRI Macro (Total) Index -0.16% 14117.05 1.03% -2.04% 6.76% 3.80% -0.54 2.20% 5.20% 0.43
HFRI Macro: Systematic Diversified Index -0.93% 11214.36 1.21% -2.73% 7.65% 7.30% -0.35 2.49% 8.33% 0.32
HFRI Relative Value (Total) Index 0.90% 9083.77 6.51% 5.82% 26.60% 3.80% 1.50 8.18% 3.73% 2.11
HFRI RV: Fixed Income-Asset Backed 1.12% 6074.74 10.45% 10.14% 42.46% 2.81% 3.44 12.52% 2.65% 4.44
HFRI RV: Fixed Income-Convertible Arbitrage Index 0.76% 6518.41 5.75% 4.07% 23.96% 6.31% 0.65 7.42% 6.16% 1.18
HFRI RV: Fixed Income-Corporate Index 1.06% 5642.25 6.90% 6.39% 30.60% 4.81% 1.30 9.31% 4.73% 1.89
HFRI RV: Multi-Strategy Index 0.60% 6244.24 4.54% 1.82% 22.10% 3.41% 0.53 6.88% 4.08% 1.63
HFRI RV: Yield Alternatives Index 1.18% 4194.68 6.36% 9.01% 37.08% 10.04% 0.90 11.08% 7.50% 1.43
 
HFRI Emerging Markets (Total) Index 1.06% 13837.60 2.59% -6.93% 8.29% 14.05% -0.45 2.69% 11.09% 0.29
HFRI Emerging Markets: Asia ex-Japan Index 0.49% 7223.13 1.59% -9.88% 0.54% 15.57% -0.60 0.18% 12.27% 0.07
HFRI Emerging Markets: Global Index 0.70% 10012.91 2.40% -4.60% 11.61% 10.21% -0.42 3.73% 8.66% 0.46
HFRI Emerging Markets: Latin America Index 2.43% 17978.04 5.80% -2.10% 14.75% 15.85% -0.06 4.69% 11.31% 0.45
HFRI Emerging Markets: Russia/Eastern Europe Index 1.23% 12757.24 1.33% -12.50% 9.56% 19.13% -0.61 3.09% 16.32% 0.26
 
HFRI Fund of Funds Composite Index 0.64% 4926.46 2.40% -0.93% 5.35% 4.63% -0.19 1.75% 4.52% 0.39
HFRI FOF: Conservative Index 0.96% 3991.92 2.23% 0.22% 6.18% 3.36% 0.06 2.02% 3.26% 0.60
HFRI FOF: Diversified Index 0.62% 4492.01 2.66% -0.26% 6.25% 3.85% -0.06 2.04% 4.06% 0.50
HFRI FOF: Market Defensive Index -0.76% 5635.81 -0.54% -3.50% -2.01% 3.61% -0.99 -0.67% 5.43% -0.11
HFRI FOF: Strategic Index 0.76% 7834.28 2.52% -1.79% 4.90% 6.55% -0.25 1.61% 5.86% 0.29
 
HFRI Fund Weighted Composite Index - CHF 0.68% 7918.88 2.81% -1.41% 10.46% 7.32% -0.17 3.37% 6.39% 0.54
HFRI Fund Weighted Composite Index - EUR 0.71% 2451.34 3.08% -0.53% 12.92% 7.12% -0.05 4.13% 6.28% 0.66
HFRI Fund Weighted Composite Index - GBP 0.76% 15553.38 3.39% 0.02% 13.92% 7.06% 0.03 4.44% 6.30% 0.71
HFRI Fund Weighted Composite Index - JPY 0.73% 6056.77 3.40% 0.06% 13.05% 7.04% 0.03 4.17% 6.22% 0.67
 

Click here to view the complete performance history of the HFRI Indices Charting Strategy Definitions Methodology FAQ

Indices last updated on September 10, 2012 - *Monthly Standard Deviation Annualized - **Annualized Sharpe Ratio assumes a 0.06% risk-free rate ***Annualized Sharpe Ratio assumes a 0.09% risk-free rate.

The HFRI are updated three times a month: Flash Update (5th business day of the month), Mid Update (15th of the month - or nearest business day), and End Update (1st business day of following month). The current month and the prior three months are left as estimates and are subject to change. All performance prior to that is locked and is no longer subject to change.




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