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Portfolio > Alternative Investments > Hedge Funds

Credit Suisse/Tremont Index Flat in June

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NEW YORK (–Hedge funds tracked by the Credit Suisse/Tremont Hedge Fund Index gave a little back in June, but the month’s 0.11% decline was a far cry from May’s 1.3% loss.

Oliver Schupp, president of the index, pointed to a rise in intra-month volatility among worldwide equity markets as May losses continued into early June, and investors continued reducing risk across markets and asset classes. As a result, long/short equity managers got burned for a second straight month–the category lost 1.01% in June, following a 2.84% decline in May. Year-to-date the category has returned 5.2%.

The month’s star performer was undoubtedly dedicated short bias, which returned 5.15% on the heels of a 5.39% gain in May. The past two months’ performance combined to lift dedicated short bias managers out of negative territory, where they had toiled through May; the category is now up 3.58% year-to-date.

Results across other categories were mostly positive, if meager. Event-driven hedge funds gained 0.75%, fixed income arbitrage gained 0.62%, global macro gained 0.44%, convertible arbitrage gained 0.35%, and equity market neutral gained 0.27%.

Emerging markets funds lost 0.14%, a marked improvement from May’s 5.02% loss, and managed futures posted the month’s biggest decline with a 2.04% decrease, a result of the reversal in commodity-related trends and the downward-performing markets, according to Mr. Schupp. Year-to-date, managed futures managers have returned 2.13%.

The multi-strategy category neither gained nor lost money–its June performance registered exactly 0%. For the year, it is positive 7.15%.

The Credit Suisse/Tremont index trailed its benchmarks a bit: June saw the Standard & Poor’s 500 DRI Index rose 0.14% and the FTSE All World Index rose 0.1%. Both benchmarks, however, suffered greater losses in May, falling 2.88% and 3.8%, respectively. Year-to-date the Credit Suisse/Tremont index is up 6.29%; the S&P 500, 2.71%; and the FTSE index, 6.73%.

Results for the Credit Suisse/Tremont Investable Hedge Fund Index were slightly weaker, as it posted a 0.21% loss for the month. The investable index has returned 4.62% year-to-date.

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