June Swoon For Hedge Fund Returns

Jul 9 2009 | 4:13am ET

Hedge funds’ best month in a decade proved a hard act to follow. The average hedge fund was essentially flat last month after May’s powerful performance, with performance across strategies decidedly mixed, according to Hedge Fund Research.

The HFRI Fund Weighted Composite Index added 0.13% in June, ending the first half up 9.41%. Most strategies rose or fell less than 1% on the month, with the exception of relative value vehicles.

 The average relative value fund added 1.88% (12.96% year-to-date), while corporate fixed-income relative value funds jumped 3.22% (14.51% YTD), the best of any strategy or substrategy in June, and fixed-income convertible arbitrage added 2.64% (the strategy’s 29.85% first-half return is tops among those tracked by the HFRI indices).

Event-driven funds also enjoyed a relatively strong June, added 1.63% (10.05% YTD), and emerging markets continued their comeback from last year’s disaster with a 0.65% return (20.35% YTD).

Other strategies were less lucky. Macro funds shed 1.93% on the month (down 3.37% YTD). Equity hedge funds were basically flat with a 0.11% decline (11.92% YTD), but two substrategies took a beating. Energy and basic materials funds shed 3.12% (up 18.99% YTD), which short-bias funds dropped a further 1.61% (down 9.87% YTD).

Funds of hedge funds rose 0.35%, according to HFR, ending the first half up 5.24%.


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