Hedge Funds Mostly Lower In Mixed June

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).


In Depth

'Smart Beta' Funds In Regulators' Sights, Hedgies May Be Next

Mar 26 2015 | 11:11am ET

Funds that mimic strategies used by active managers for a fraction of the cost could...

Lifestyle

Study: Both Marriage and Divorce Lead to Negative Hedge Fund Performance

Mar 25 2015 | 6:51pm ET

Trouble at home leads to trouble in the market for fund managers, according to researchers...

Guest Contributor

Concerned About Your HFT Exposure? Hedge It!

Mar 26 2015 | 1:06pm ET

High-frequency trading has been a persistent storyline for several years. The trading...

 

Sponsored Content

    Mar 9 2015 | 6:35am ET

    Kelly RodriquesKelly RodriquesAs more investors look to diversify, many are beginning to use retirement funds to invest in alternative assets such as private equity and real estate. Kelly Rodriques, CEO & President of PENSCO Trust Company, explains how companies can connect with those looking to use their retirement accounts in a different way. Read more…

Editor's Note