19/07/2011 Author: Leah Quinn

Hedge fund struggle in June, index shows

CTA Global strategies performed the worst as a result of losses in the commodities market, reporting losses of -2.27% this month.

Global macro and event-driven funds endured similarly poor returns, down -1.32% and -1.40% respectively, while funds of hedge funds fell -1.36%.  

However, June’s performance was not entirely negative as fixed income arbitrage enjoyed marginal gains, up 0.05 %, bringing year-to-date (YTD) performance to 4.5%, the best of all strategies on the index.

The disappointing overall sector returns stemmed largely from poor performance in the stock, fixed income and commodities markets.

After previous disappointment in May, the stock market suffered further difficulty last month, with the S&P 500 Index recording significant losses of -1.67% and implied volatility of 16.5% .

The fixed income market endured similarly poor performance with convertible bonds falling again by -1.03%, reverting back to the level experienced in January, while the commodities market continued this negative trend with considerable losses again this month of -5.43%.