Hedge Funds Shed 1.22% In June, End First Half Up 0.76%

Jul 11 2011 | 11:36am ET

The first half ended on a sour note for hedge funds, according to Hedge Fund Research.

The average hedge fund lost 1.22% last month, according to the HFRI Fund Weighted Composite Index. While that's less than the Standard & Poor's 500 Index lost on the month, the broader markets returned 6.01% in the first half, compared to just 0.76% for hedge funds.

Losses last month were broad-based and sent three strategy indices into the red for the year to date. Macro funds were hardest-hit of the main strategies, falling 1.76% in June (down 2.16% year-to-date). Equity hedge funds lost 1.2% on the month (up 1.08% YTD), emerging markets funds lost 1.12% (down 0.27% YTD), event-driven funds lost 1.09% (up 2.87% YTD) and relative value funds lost 0.12% (up 3.16% YTD).

Among substrategies, energy and basic materials funds suffered by far the worst June swoon, falling 3.89% on the month (down 3.8% YTD). Systematic diversified funds fell 2.36% (down 3.22% YTD), Asia ex-Japan funds fell 1.65% (down 3.19% YTD), Russia and Eastern Europe funds fell 1.44% (up 3.74% YTD) and convertible arbitrage funds fell 1.01% (up 0.83% YTD).

Just three strategies were in the black in June: Short-bias, up 4.15% (down 3.87% YTD), yield alternative funds (1.98% in June, 6.81% YTD) and private issue and Regulation D funds (0.91%, 11.11% YTD).


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