After flying high in July as global markets traded in a consolidation mode, the Credit Suisse/Tremont Broad Hedge Fund Index eased in August—returning a positive 1.53 per cent—for a sixth consecutive month of positive returns, according to Lipper Tass.

Over August all hedge fund strategies except dedicated short bias posted positive performance.

Consolidating the positive trend since the beginning of the year, the best performing hedge fund strategy for the third month in a row was convertible arbitrage, returning a solid 3.39 per cent, while the worst performing strategy was dedicated short bias at minus 1.69 per cent.

Monthly performance dispersion among Credit Suisse/Tremont hedge fund strategy indices in August more than halved July’s reading, ending at 507 basis points. This compared to the 888-bp monthly average since 1994 and was two bps below July’s average since 1994.

Over August the average performance for the 7,000 hedge funds tracked by Lipper was a positive 1.24 per cent—29 bps lower than the Credit Suisse/Tremont Broad Hedge Fund Index.

Increasing from July’s reading—after June reversed the pattern to rising, which peaked with May’s record at 143.81 percentage points—a 114.95-percentage-point monthly performance difference in August divided the top and bottom performers of the 7,000 actively reporting hedge funds tracked by Lipper.

Lipper says US-dollar Libor-OIS widening trade strategies might offer profit opportunities in the short run. Two of the quantitative easing measures—namely the Temporary Liquidity Guarantee Program and the Treasury and Mortgage Asset Purchase Program—will expire in October.


Subscribe to free daily newsletter
Furtherreading
from our other sites
latestjobs
VP/SVP Credit Quant- NY- Investment Bank

Sun, 28 Dec 2014 00:00:00 GMT

Quantitative Research | Equity | New York

Sat, 27 Dec 2014 00:00:00 GMT

SVP Model Validation

Sat, 27 Dec 2014 00:00:00 GMT

events
2 weeks 12 hours from now - New Orleans
3 weeks 2 days from now - Boston
3 weeks 2 days from now - New York
3 weeks 6 days from now - New York
specialreports