Performance was negative in July for 12 of 21 hedge fund indexes created by Hedge Fund Research. Despite widely reported double-digit losses by some quantitatively managed hedge funds, aggregate hedge fund returns did not dip lower than the -1.34% return of the HFRI Fixed Income High Yield index. Other HFRI indexes in negative territory for July were the Regulation D index, -1.18%; the Convertible Bond and Equity Non-Hedge indexes, both at -1.09%; and the Market Timing index, -0.97%.
The HFRI Short Selling index turned in the best performance for the month at 6.49%, followed by the Emerging Markets index, 3.19%, and the Fixed Income Arbitrage index, 1.63%.
Overall, hedge fund returns were flat in July, with the HFRI Fund Weighted Composite index at 0.45% and the Fund of Funds Composite following at 0.43%.
Year-to-date July 31, all HFR hedge fund indexes were positive, with the Fund Weighted Composite returning 7.95%, trailing the 8.32% return of the Fund of Funds Composite.