UMass Amherst's CISDM Equal-Weighted Hedge Fund Index Gains +0.42% In August

Sep 22 2017 | 6:18pm ET

UMass Amherst’s equal-weighted CISDM hedge fund index gained 0.42% in August, according to the school, confirming the strong results seen in other hedge fund industry metrics for the month. The measure is now up +5.37% for the year to date.

Individual hedge fund strategies produced mixed returns for August with 6 strategies producing positive returns and 4 strategies having negative returns for the month, the school added. Highlights:

  • The CISDM CTA Index, which was up 1.67% for August, was the best performing strategy for August, the second consecutive month in which CTAs were 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. 
  • Conversely, fixed income-focused hedge fund strategies fared poorly in August, losing -53%. For the year, however, all fixed income-focused hedge funds 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 performed well in August, with the Equity Long/Short Index gaining +0.30%. This is not surprising given modest gains in U.S.‐based equity market and positive exposure of these funds to the overall equity markets. The China Long/Short Index produced robust gains of +1.41% for the month, as stocks listed on mainland China hit a 20‐month high.
  • The CISDM Fund of Funds Index had a modest +0.47 basis points return for the month, most likely from positive exposure to equity‐focused strategies. This index has gained in nine of the last ten months. 

The CISDM indexes are published by in conjunction with Morningstar by UMass Amherst’s Isenberg School of Management’s Center for International Securities and Derivatives Markets (CISDM), which conducts research into derivatives, alternative investments and asset and risk management. The database is among the oldest hedge fund and CTA databases in the market, tracking qualitative and quantitative information for more than 5,000 hedge funds, funds of funds and CTAs since 1994.

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