Hedge funds were hit by last month’s market volatility, falling more than 1%, according to an industry replication index.
The Credit Suisse Alternative Beta Index dropped 1.07% in June, cutting its year-to-date gains to 2.2%. The event-driven strategy weighed heavily on the benchmark, falling 1.8% on the month (up 2.71% year-to-date).
Long/short lost 1.55% in June (up 0.96% YTD) and merger arbitrage 0.91% (up 4.55% YTD). Global strategies shed 0.68% (up 2.34% YTD).
Of strategies tracked by the LAB indices, only managed futures managed a positive return in June, adding 0.69% (6.15% YTD).