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UMASS Amherst's Isenberg School of Management hedge fund index up +0.42% for August

Thursday, September 21, 2017
Opalesque Industry Update - UMass Amherst's Isenberg School of Management's Center for International Securities and Derivatives Markets (CISDM) has released its August Equally Weighted Hedge Fund Index. The CISDM Equal Weighted Hedge Fund Index was up 0.42% for the month of August. These are the final figures.

The CISDM Equal Weighted Index increased for the month of August to produce year-to-date return of 5.37%. The major US benchmarks in both equities and bond markets produced positive returns for August. Gains in the bond market was especially pronounced in August as fear of debt ceiling not being raised in time and lower than expected inflation drove yields lower.

Individual hedge fund strategies produced mixed returns for August with 6 strategies producing positive returns and 4 strategies having negative returns. The CISDM CTA Index, which was up 1.67% for August, was the best performing strategy for August. August was the second consecutive month in which CTA was the best performing strategy. Gains for the CTAs can be attributed to the decline in dollar against the Euro and Japanese Yen, decline in crude oil prices following hurricane Harvey and robust gains in some commodities, such as precious metals and industrial metal.

Fixed-income focused hedge fund strategies fared poorly in August; although, for the year, all fixed-income focused hedge fund CISDM indices are up. As yield spread between risky bonds and safer US Treasuries increased throughout the month, most of the fixed income focused hedge funds most likely lost money from their positive exposure to risky bonds and negative exposure to safer Treasuries.

Equity directional strategies, such as the Equity Long/Short Index, performed well for August. This is not surprising given modest gains in US-based equity market and positive exposure of these funds to the overall equity markets. China Long/Short Index also produced robust gains for the month. Stocks listed on mainland China were at a 20-month high following large inflows into mainland equity share classes through exchange links with Hong Kong.

The CISDM Fund of Funds Index had a modest 47 basis points return for the month, most likely from positive exposure to equity-focused strategies, which were mostly up for the month. This index gained for the ninth time in the last ten months.

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