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Portfolio > Alternative Investments > Hedge Funds

Hedge Funds Return 0.83% in June: CSFB/Tremont

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NEW YORK (–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.

Event-driven multi-strategy funds returned 9.7% in the first six months of the year, while convertible arbitrage returned 8.15% and long/short equity returned 7.19%. Also during the first half, multi-strategy funds posted performance of 7.14%, fixed-income arbitrage funds returned 5.67%, risk arbitrage funds returned 3.46% and equity market neutral returned 3.17%.

Dedicated short-bias funds suffered through performance of negative 19.48% in the first six months of the year. In that period, the S&P 500 stock index returned 11.75%, the MSCI EAFE US$ Index returned 9.85% and the MSCI US$ World Index returned 11.45%.

The CSFB/Tremont Hedge Fund Index, a capitalization-weighted index, has 421 funds in it as of June 1, down from 431 funds the previous month, when seven funds stopped reporting and three funds liquidated. Funds no longer reporting to the index are: JMG Capital Partners LP; JMG Triton Offshore Ltd.; BDC Offshore fund Ltd.; BDC Partners 1 LP; Lazard Worldwide Opportunities LP; and Lazard Worldwide Opportunities Ltd. The three funds liquidated are: Perry European Fund Ltd.; Antiope Alpha Fund plc-Pan Europe Market Neutral Fund; and Gamma Global Fund Ltd. Also two convertible arbitrage funds, Stark Investments LP and Shepherd Investment International Ltd., now are included with multi-strategy funds, and their performance is reflected in the multi-strategy index.

*Tremont Capital Management Inc., Rye, N.Y., is a strategic partner of and a minority investor in HedgeWorld.

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