(Most of) the numbers are in, and it’s safe to say that June was not a good month for the global hedge fund industry.
The latest benchmark to show a June swoon is the HFRI Fund Weighted Composite Index, which dropped 0.81% last month, pushing it into the red for the first half with a 0.18% loss. While hardly a bloodbath, three of the HFRI indices’ four major strategy groups were in the red, and half of its 14 substrategy indices were also losers on the month.
Equity hedge funds were hardest-hit, shedding 1.5% on the month (down 1.6% year-to-date). Indeed, the only equity hedge funds that did well in June were—surprise, surprise—short bias funds, which took advantage of continued market difficulty to jump 3.73% on the month (down 3.06% YTD), the best of any strategy, substrategy or regional index.
“In contrast to the environment of the last two years, the drivers of hedge fund performance have recently shifted to tightening corporate credit, declining equity market volatility, currency adjustments and rising sovereign credit risk,” said Ken Heinz, president of Hedge Fund Research. “While allocations reflect continuing trends in Event Driven & Arbitrage strategies, investors are also focusing on fund structure and transparency, as well as new opportunities presented in currency, commodity and fixed income markets.”
Event-driven funds fell 1.1% (up 2.43% YTD), “led” by private issue and Regulation D funds, which suffered a 2.8% drop (up 4.26% YTD), the second worst of any strategy or substrategy. Macro fund lost 0.23% on the month (down 1.27% YTD).
Emerging markets funds also took a hit, falling 0.63% on the month (down 1.46% YTD). Russian and Eastern European funds took it on the cheek, dropping 2.9%, with the consolation that they remain up 0.56% on the year. The month’s two EM “winners,” Latin America and Asia ex-Japan, cannot say the same: They remain down 3.67% and 2.41%, respectively, despite 1.22% and 0.07% returns last month.
Relative value funds managed a small gain in June, rising 0.4% (3.66% YTD). All but one of the HFRI relative value subindices were up last month, led by fixed-income convertible arbitrage (1.51% in June, 3.62% YTD) and yield alternatives (1.26%, 3.13% YTD).
Funds of hedge funds shed 1.08% last month and are down 1.39% on the year.