HFN Strategy Focus Report: Statistical Arbitrage

HFN has published a new report on statistical arbitrage hedge funds. Statistical arbitrage funds were +1.72% in July and -1.23% YTD 2011. HFN estimates total hedge fund assets invested in statistical arbitrage strategies were $32.43 billion at the end of July 2011. Total AUM has decreased 16% in the first seven months of 2011, or $5.9 billion. AUM decreased 3% in 2010 after climbing to an all-time peak of $42.5 billion in March of that year. Statistical arbitrage strategies vary widely in terms of position holding time horizon and style, but the similarity across all of these funds is the fully quantitative nature of trade construction and execution. The full report touches on trends for the heterogeneous group and performance relative to its peers.