Big declines in Chinese equities and uncertainty around Greece’s referendum cast dark shadows over the hedge fund sector in June, according to Hedge Fund Research.
The HFRI Fund Weighted Composite Index fell by 1.3% in June.
That loss was the worst monthly decline since June 2013, reducing first half gains to 2.4%.
Despite the June decline, hedge funds still outperformed U.S. equities by more than 200 basis points in the first half, as measured by the S&P 500.
Macro hedge fund strategies took the biggest hit in June, down 2.4%, with losses across equity and currency exposures. Year to date, macro is down 0.4%.
This was macro strategies’ worst monthly performance in seven years, according to HFR, and reversed recent strength in macro and CTA strategies, the top performers in 2014. Over the trailing 12-month period, macro is up 5.6%, and CTA is up 7.4%.
The HFRI Equity Hedge Index suffered a more modest loss in June, down 0.8%, paring the strong first-half gain for the index to 4.1%.
Fundamental growth and China exposures led the declines. The HFRI China Index fell by 3.5% for the month, cutting its first half gain to 18.9%.
Similarly, fundamental growth strategies were down by 1.3%, reducing their January-to-June gains to 4.4%.