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Credit Suisse/Tremont Hedge Fund Index to finish up 1.68 per cent in August

Date: Friday, September 11, 2009
Author: Hedgeweek.com

Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index will finish up 1.68 per cent in August, marking the sixth straight month of positive performance for the overall asset class.

Managers saw a wide dispersion in returns across global equity markets last month with the Shanghai equity markets closing down over 20 per cent and certain US and European markets peaking mid-month, reaching their highest levels since October 2008.

Amidst the market volatility, managers with net short portfolios appeared to perform better in August than they have during previous months of the rally. In Japan, markets rose modestly following the country's national election and Japan-focused long/short equity hedge funds were up approximately one per cent for the month on average, benefiting primarily from stock selection and outperformance by the small-cap sector of the equity markets. As a whole, long/short equity managers had a generally positive month, finishing up an estimated 1.42 per cent, while emerging markets returned an estimated 2.18 per cent.

Event driven managers returned approximately 2.46 per cent for the month as managers continued to take advantage of tailwinds in equity and credit markets in the distressed environment. According to Credit Suisse Tremont, the majority of investment opportunities in the space currently appear to coming from the special situations area.

Managed futures posted returns of 0.79 per cent, representing their second positive month of performance so far this year (the sector was up 0.85 per cent in May). Many managers in the strategy have struggled for most of this year, although trend followers appear to be beginning to show profits as models gain more traction. The global macro sector also experienced positive returns in August, posting a 0.94 per cent gain as commodities-focused managers capitalized on rallies in metals, sugar and certain other softs.

Convertible arbitrage extended its run of positive performance to eight consecutive months, finishing up 3.37 per cent in August, as opportunities in the space remained strong. Performance was muted, however, in comparison to returns of the past four months, when the strategy posted consecutive monthly returns of greater than four per cent.

The US Federal Reserve and US Treasury announced an extension of its USD200bn term asset-backed securities loan facility programme, adding an additional three to six months from its original end-of-year expiration date. This was welcome news to many fixed income investors and relative value managers who had an overall positive month. Fixed income arbitrage managers are now up 2.39 per cent year to date.