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Macro strategies had the strongest contribution to performance, with the HFRX Macro Index gaining +1.45%, narrowing the YTD loss to -1.53%. Reversing July losses, systematic trend-following strategies posted a gain of +5.0% with gains in fixed income, short energy exposure and currencies offsetting losses in equities and commodities. Discretionary Macro had a partially offsetting loss as expectations of economic growth were reduced for the month.

Event Driven strategies posted a decline of -0.43%, bringing these to a narrow loss of -0.27% YTD. Equity sensitive special situations had the most negative contribution to performance posting a decline of -0.78%, while Merger Arbitrage posted a modest gain, partially offsetting losses in other ED sub-strategies. Distressed Securities had a narrow loss of -0.09%.

Relative Value continued its strong YTD performance with a gain of +0.70% bringing YTD gains to +3.57%. Falling yields and continued tight credit spreads drove strong performance in both Convertible Arbitrage and across multi-strategies, with these gaining +1.56% and +0.74% respectively for August; +5.14% and +5.83% YTD for each of these.

Equity Hedge had a negative contribution to industry performance, with the HFRX Equity Hedge Index declining -0.41%. Quantitative, factor-based EMN had the most negative impact on EH, with a decline of -3.78% on poor persistence in quantitative models, while Fundamental Value posted a smaller loss of -0.83%, bringing FV to a loss of -0.46% YTD. Fundamental Growth had a partially-offsetting positive contribution, posting a gain of +1.32% for the month.

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