Saturday, 1 November 2014
Last updated 1 day ago
Jul 6 2012 | 1:19pm ET
June was a highly mixed month for hedge funds, based on the picture painted by three industry indices.
The widely-followed Dow Jones Credit Suisse Core Hedge Fund Index fell 0.45% last month and Hedge Fund Research's HFRX Global Hedge Fund Index shed 0.3%. But Credit Suisse's hedge fund replication Liquid Alternative Beta Index gained 1.4% in June.
The Standard & Poor's 500 Index rose almost 4% on the month.
All three of the hedge fund indices are in the black for the year; the Dow Jones index is up 0.42%, HFRX 1.22% and LAB 0.96%.
The picture is no less muddled when one drills down into the three suites' strategy and substrategy indices. All agree that last month was not a good one for commodity trading advisors or managed futures funds. But while the LAB index has the strategy down 5.26% in June (down 5.19% year-to-date) and Dow Jones 3.37% (down 0.34% YTD), HFRX's Macro/CTA Index is down just 1.3% (down 1.81% YTD).
Things are even more confused when it comes to event-driven funds: LAB has them up 4.75% (4.71% YTD), while HFRX has them down 0.57% (up 2.99% YTD) and Dow Jones 0.7% (up 0.67% YTD).
Fixed-income arbitrage was the best-performing of the Dow Jones indices, adding 0.92% in June (1.48% YTD). Global macro funds were up 0.15% (2.18% YTD) and long/short equity funds 0.02% (down 3.15% YTD). Convertible arbitrage funds lost 0.77% on the month (up 3.98% YTD) and emerging markets funds lost 0.09% (down 0.18% YTD).
Fundamental value stock funds took first among the HFRX subindices, rising 0.93% last month (1.44% YTD). Only three other HFRX benchmarks were in the black in June: convertible arbitrage at 0.75% (3.98% YTD), equity hedge at 0.52% (1.18% YTD) and multi-strategy at 0.19% (2.06% YTD). Systematic diversified CTAs took the biggest hit, losing 3.92% (down 4.62% YTD), followed by equity market neutral (down 1.46% in June, down 4.96% YTD) and special situations (down 1.04%, up 0.98% YTD).
In between the LAB index extremes of event-driven and managed futures stood long/short (up 1.33%, up 1.19% YTD), global strategies (up 0.11%, down 0.66% YTD) and merger arbitrage (down 0.85%, down 2.5% YTD).
Sep 22 2014 | 4:15pm ET
"I tell people that everybody likes good news and so if you have good performance that’s wonderful,” explains Mike McKitish of Peddie School's endowment, “but it’s the people that want to talk about the bad news or where they drifted and how they came back and how they stayed to their discipline…” that he wants to hear from. Read more…
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