Hedge fund performance retreats in June

Date: Wednesday, August 5, 2009
Author: Hedgeweek.com

Despite ending the second quarter on a positive note, hedge fund strategies' performance retreated in June as global markets moved sideways, according to a report by Lipper. 

Easing from the highest monthly performance since February 2000 posted in May, the Credit Suisse/Tremont Broad Hedge Fund Index retreated in June to a positive 0.43 per cent for a fourth consecutive month of positive returns.

Over June all hedge fund strategies except dedicated short bias, equity market neutral, global macro, long/short equity, and managed futures posted positive performance.

Confirming the positive trend of the previous two months, the best performing hedge fund strategy was convertible arbitrage, returning a solid 4.05 per cent, according to the Credit Suisse/Tremont substrategy index, while the worst performing strategy was managed futures at -2.32 per cent.

Monthly performance dispersion among Credit Suisse/Tremont hedge fund strategy indices continued to tighten in June to 637 basis points after peaking in April at 1,474 bps.

Over June the average performance for the 7,000 hedge funds tracked by Lipper was a negative 0.29 per cent.

Easing from May's record reading, a 111.90-percentage point monthly performance difference in June divided the top and bottom performers of the 7,000 actively reporting hedge funds tracked by Lipper.