Almost All Hedge Fund Strategies Down In June

Jul 12 2011 | 11:23am ET

Hedge funds lost 1.2% last month amidst remarkably broad-based declines for the industry, the Hennessee Group said yesterday.

The Hennessee Hedge Fund Index closed out the first half with its only two losing months of the year, cutting its 2011 return to 1.45%. Last month, 20 of the 23 strategies tracked by Hennessee lost ground, with only two making gains.

“Hedge funds experienced another difficult month in June. Hedge funds were ‘whipsawed’ as markets sold off sharply before dramatically reversing course with a strong five day rally into quarter end,” Lee Hennessee, managing principal of Hennessee, said. “As the markets fell, hedge funds reduced exposures in order to limit losses and protect capital. When the markets rebounded, hedge funds failed to fully participate in the rally.”

European hedge funds were battered by the ongoing sovereign debt crisis, losing 2.56% on the month (down 1.8% year-to-date). Financial equities and growth funds fared little better, each losing 2.31% in June (up 0.1% and 1.97% YTD, respectively).

Other notable losers included event-driven (down 1.84% in June, up 2.81% YTD), macro (down 1.46%, down 2.98% YTD), distressed (down 1.21%, up 4.41% YTD), emerging markets (down 1.17%, down 0.2% YTD), merger arbitrage (down 0.72%, up 2.64% YTD), convertible arbitrage (down 0.17%, up 2.94% YTD) and market neutral (down 0.05%, up 4.77% YTD) funds.

The only winners were short-biased funds, which took advantage of declining stock markets to add 1.68% on the month (down 4.53% YTD), and technology funds (up 0.36% in June, 5.64% YTD). Greenwich did not report a June figure for its private investments in public equities and private financing index, which is down 7.16% through May.

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