Investable indexes: July 2012 returns

Hedge fund strategies performed mostly positively during July. CTAs were one of the strongest performers, benefiting from the US drought and rising energy prices. Only a few strategies had declines.

Dow Jones/Credit Suisse
The Dow Jones Credit Suisse Hedge Funds Index ended July up 1.42% and only two of the 10 sub-strategies had losses for the month. Dedicated short bias was the worst performer for the month, ending down 0.44%. However, this is an improvement on its June performance when it ended the month down 2.72%. Equity market neutral was close behind dedicated short bias, dropping 0.4% in July. Managed futures outperformed the other sub-strategies by some distance, gaining 4.68%. This is a reversal of June’s performance when the strategy was down 3.56%. Global macro performed second best in July, gaining 2.14%. Fixed income arbitrage also had a positive performance in July, ending the month up 1.62%. Long/short equity and convertible arbitrage had marginally positive performances, rising 0.55% and 0.86% respectively.
FrontEdge Global Hedge Fund
The FrontEdge Global Hedge Fund returned 1.23% in July 2012 compared with 0.73% for the benchmark HFRI Fund of Funds Index. All of the six underlying hedge fund sub-strategies were positive in July.
The best-performing strategy was managed futures, up 4.23%, followed by convertible and volatility arbitrage and equity long/short, returning 1.42% and 1.16% respectively. The synthetic replication blend returned 0.41%. Over the past 12 months, the fund has returned a negative 2.47% with volatility of 3.99% compared with a 12-month return of -4.28% and volatility of 5.23% for the HFRI Fund of Funds index.
The fund combines investments in around 40 single hedge fund managers with a significant allocation to a blend of synthetic replication products.
HFRX
The HFRX Global Hedge Fund Index was up 0.54% in July, with all but two sub-strategies ending the month in positive territory. As the impact of the drought in the US continued and energy prices rose, managers captured consistent trends in commodity positions in agriculturals and energy. The Macro Systematic Diversified CTA Index gained 3.23% for the month and the Equity Hedge Index posted a gain of 0.55%. The Equity Market Neutral Index posted a modest decline of 0.07% as positive contributions from factor-based models were offset by declines in behavioural strategies. The Event Driven Index posted a gain of 0.25% for the month with contributions from distressed/restructuring, activist and equity special situation strategies. The Distressed Index posted a gain of 0.45%, bringing year-to-date performance to 3.50%. The Merger Arbitrage Index declined 0.20% in July, with mixed performance across core positions.
Lyxor
The Lyxor Hedge Fund Index gained 1.05% in July and 12 strategy indexes out of 14 ended the month in positive territory, led by the Lyxor Long Term CTA Index (up 3.2%) and Lyxor Long/Short Equity Statistical Arbitrage Index (up 2.1%).
CTAs focused on medium and long-term trends finished the month with a 3.2% gain. Statistical arbitrage and equity market neutral managers posted gains of 2.1% and 1.8%, respectively.
Long/short credit funds gained 0.8% and convertible arbitrage managers gained 1.1%. Fixed income arbitrage specialists gained 0.2% to boost YTD performance to 5.9%. Merger arbitrage managers were down slightly in July as some extremely tight spreads widened. The Lyxor Merger Arbitrage Index declined 0.3%.
Special situations managers gained 0.3%, with losses in gold mining stocks seriously denting the performance of some funds.
Distressed managers declined 0.2% in July. Long bias managers gained 1.2% while variable bias managers were flat on the month. The Long Bias Index performance for the year now stands at 5.6%.