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HFRU Hedge Fund Composite Index declined -2.54% in August (1.53% YTD)

Thursday, September 03, 2015
Opalesque Industry Update - UCITS compliant Hedge Funds posted declines for August 2015, with the HFRU Hedge Fund Composite Index declining -2.54%.

HFRU Event Driven Index posted a decline of -1.34% for August with declines in Global Special Situations equity, Merger Arbitrage and Distressed strategies as global equities experienced sharp declines and volatility surged through the month.

HFRU Relative Value Arbitrage Index posted a decline of -1.52% for August, with contributions from Volatility and Sovereign Fixed Income strategies offset by Global Convertible, Multi-Strategy and Yield Alternative strategies as yields traded in a wide and volatile intra-month range.

HFRU Macro Index posted a decline of -2.28% for August with contributions from Volatility strategies and mixed performance from Multi-Strategy and Global Discretionary managers while Systematic/CTA managers posted declines as Energy and Metals commodities experienced sharp reversals throughout the month, the Yuan devalued and the US Dollar declined against the Euro and the Yen while posting gains against the British Pound.

HFRU Equity Hedge Index posted a decline of -3.27% for August as global equities suffered sharp losses concentrated in Emerging Markets with significant declines in exposures to China, Turkey and Brazil, only partially offset by Equity Market Neutral strategies and idiosyncratic European and US positioning.

Global financial market volatility surged in August as Chinese equities posted a second consecutive sharp monthly decline, while US equities posted the worst monthly decline since 2012, despite paring intra-month declines into month end. Sharp losses across Chinese equities on weakening Chinese economic growth contributed to steep losses across US, European and Emerging Markets equities. US equity market losses were broad-based, led by declines in Small Cap, Technology, Healthcare and Financials, while European regional losses were led by Germany, France, Spain and the Netherlands. Volatility in Energy and Metals commodities also spiked in August, with Oil and Gold recovering sharp intra-month declines into month end to conclude the month with a gain. Currency volatility also soared in August, with the US Dollar posting gains against most currencies as the Chinese central bank devalued the Yuan, with US$ gains led by gains against the Brazilian Real, Russian Rouble and British Pound Sterling, though the Dollar declined against the Euro and Japanese Yen. Investment grade and high yield credit weakened for the month, though US yields settled with only a small increase, as treasuries posted sharp intra-month gains on increased financial market volatility followed by declines into month end.

Press release

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