Hedge Funds Return 0.83% in June: CSFB/Tremont

NEW YORK (HedgeWorld.com)–Hedge fund performance was lackluster at 0.83% in June, with individual strategies all over the board, according to the CSFB/Tremont* Hedge Fund Index.

Strategies that hurt the index performance included dedicated short-bias funds, which fell 6.01%, managed futures, which fell 2.21%, and convertible arbitrage, down 0.62%. Some funds were hurt by an earning-driven sell-off in equities in the latter part of June, though the Federal Reserve’s rate cut and economic optimism had helped some funds earlier in the period, according to CSFB/Tremont.

As a result, good performance came from selected categories. Distressed funds returned 2.63%, emerging markets funds returned 2.02% in June, event-driven multi-strategy funds returned 1.28% and global macro funds returned 1.63%. In the same period, the Standard & Poor’s 500 stock index returned 1.28%, the MSCI EAFE US$ index returned 2.47% and the MSCI US$ World Index returned 1.77%, according to CSFB/Tremont.

Other returns for the month were: multi-strategy, 1.1%; long/short equity, 0.79%; risk arbitrage, 0.75%; equity market neutral, 0.46%; and fixed-income arbitrage, 0.34%. The overall event-driven category, which includes distressed and risk arb, was up 1.8%

Strong First Half

June’s returns, though, kept the year-to-date performance for the index chugging along at a clip of 7.94%. The leading fund category for the first half again was distressed, with a return of 14.11%, followed closely by emerging markets funds, which returned 13.06%. The event-driven sub index gained 11.03% for the period. Futures funds returned 10.5%, and global macro funds returned 10.39% in the year-to-date period through June.