Hedge Fund Performance - August/2011

It's been a while since I've posted anything about Hedge Fund performance. I figured that with the struggles of the markets last August that I should do a brief update. First off, here are the year-to-date performance numbers along with returns for the most recent month:

(Click to enlarge)
The S&P 500 was down close to 6% in August so it's not surprising that the Shorts did well last month. In fact Shorts are right up there with Global Macro managers through the first eight months of 2011. Markets have been down through the first half of September so Shorts may end up with two consecutive months of strong gains. Managed Futures have been up-and-down through the first eight months of 2011, and are essentially flat for the year. Over the most recent 12 & 24 months, most Hedge Fund styles still trail the S&P 500 although Global Macro managers are closing the gap. Continuing their miserable 2008/2009 performance, Equity Market Neutral funds have fared poorly over the last 24 months (see 2008 and 2009 results).

(Click to enlarge)

To close this post, here's an updated view of volatility (of monthly returns) since Jan/2006 -- the year prior to the start of the global financial crisis. Over the past 5 years, Global Macro funds continue to provide decent returns with relatively low volatility, especially when compared to the wild swings one associates with Managed Futures.

(Click to enlarge)