The August returns for Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Hedge Fund Research Indexes and Lyxor Alternative Index.

Dow Jones
The Dow Jones Credit Suisse Hedge Fund Index fell 2.77% in August, although three out of 10 sectors posted positive performance. Overall, the index outperformed global equities by more than five percentage points with dedicated short bias delivering the strongest performance, gaining 6.96% as short positions across equity markets proved profitable amidst broad market downturns. The strategy has been on a winning run since May. Managed futures was up 1.24% and global macro gained 0.54% as managers employed tactical trading strategies to navigate the high levels of volatility seen in August. Seven strategies posted negative returns: event driven (-5.68%), long/short equity (-5.09%), emerging markets (-3.77%), convertible arbitrage (-1.90%), equity market neutral (-1.57%), multi-strategy (-0.94%) and fixed income arbitrage (-0.92%). The industry saw an estimated $4.77 billion in inflows in August taking total industry assets to around $1.79 trillion.

Frontier
The Frontier Multi Asset Platform (MAP) returned a negative 1.9% in August, reversing its positive performance in July when it was up 0.9%. The best performing asset class was global bonds, rising 1.2%, followed by emerging bonds (+0.9) and commodities (+0.7%). The worst-performing asset class was emerging equities, down 8.9%, followed by global equities falling 7.0%. The other asset classes that showed negative performance were real estate dropping 5.6%, hedge funds falling 2.2% and managed futures declining 1.5%. Over the five years to August 2011, the MAP strategy has generated a positive 1.3% annualised returns with volatility of 9.5%. The Frontier MAP is an investable fund tracking eight global asset class indexes using an asset allocation inspired by US university endowments such as Harvard and Yale.

HFRX
The HFRX Global Hedge Fund Index declined by 3.47% for August. All strategies were in negative territory as markets continued to experience volatility triggered by concerns about the US debt ceiling, the ongoing European sovereign debt crisis and overall weakening of the US economy. Equity hedge posted a decline of 5.64% from negative contributions from all sub-strategies. The losses represented the fourth consecutive decline for equity hedge and only the second such period in the history of the index. Also down a fourth month, event driven fell by 4.05% for the month. Equity market neutral strategies experienced declines on the increase in volatility, with the index dropping 2.46%. Distressed fell by 4.03% and the relative value dropped 3.58%. Macro declined 0.09% for the month with negative contributions from discretionary and active trading strategies. Convertible arbitrage posted a drop of 1.60%. Losses were more modest across corporate M&A, with merger arbitrage down 0.76%.

Lyxor
The Lyxor Global Hedge Fund Index was down 2.19% in August. The top performing positive strategies over the month were long/short equity short bias (5.55%), CTAs short term (2.21%) and fixed income (0.26%). Trend-following CTAs on average exhibited muted returns with the long term CTA down just 0.4% on the month. Equity-oriented managers persistently reduced net exposures and outperformed the equity indexes by a wide margin. While the S&P 500 declined 5.7% and the EuroStoxx 50 fell nearly 14%, long/short equity variable bias declined 2.9% and long/short equity long bias fell 4.2%. Equity market neutral was down 1.1% and statistical arbitrage fell 1.6%. Special situations declined 6.5% and distressed decreased 0.9%. Merger arbitrage declined 2.1% as spreads widened dramatically during the market sell-off. Hedge fund managers in credit experienced a challenging month as diminished trading liquidity remained a concern. Convertible arbitrage declined 1.7% as the bonds moved from slightly rich to slightly cheap amid the risk-off trading. Long/short credit fell 3.0% and global macro declined 1.2%. Rates-oriented managers were punished if they were short duration but some of the managers were able to monetise the volatility. Fixed income arbitrage gained 0.3% in August.