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).


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