Due to multi-strategic and equity market losses, August was again another difficult month for hedge funds

After being one of the best strategies for overall returns in July, equity hedge funds started to perform poorly in August. Equities were one of just two strategies to have a loss last month (-0.8%); multi-strategy was the only one to experience a loss in August (-1.4%).

It shouldn't be surprising to see that only 56.5% of the hedge funds managed by Citco achieved positive returns in August, down from 69.9% in July, given the performance's uneven nature.

Multiple strategies result in losses.

The overall return for Citco-managed hedge funds in August was -0.6% as losses from equity and multi-strategy funds outweighed gains from all other strategies. With a return of 3%, it signaled a change from the third quarter's strong beginning in July.

Event-driven was the most successful strategy among the hedge funds managed by Citco in August, returning 3.5% on a weighted average basis, ahead of commodities at 1.8% and global macro at 1.6%.

Event-driven once more outperformed all other strategies in terms of median return, coming in at 2.3%, followed by global macro at 0.9%. Other approaches, however, showed more pronounced dispersions. Multi-strategy funds, for instance, had the lowest weighted-average performance at -1.4%, despite the fact that the strategy had a positive median return of 0.4%.

On a median basis, equities had the weakest performance (-0.1%). Other areas with notable broad dispersion included commodities and global macro, where the median return was 0.2% but the weighted average return was 1.8% and 0.9%, respectively.

In August, the biggest funds were the weakest.

The largest hedge funds underperformed their smaller counterparts. A weighted average return of -1.9% was produced by funds with more than $3 billion in assets under management, compared to a 0.2% loss for funds with less than $200 million in assets under management.

The difference between the median return of 0.2% and the total weighted average return of -0.6% indicates that larger funds underperformed. The median return for funds with more than $3 billion was 0.1%, while the median return for funds with less than $200 million was flat.

The best-performing funds, with $1 billion to $3 billion in assets under management, returned 1% on a weighted average basis and 0.6% on a median basis.