The Lyxor Global Hedge Fund index, an investable index based on Lyxor’s hedge fund platform, was down 0.6 per cent in June.
Year-to-date the index remains in positive territory as it gains 0.1 per cent.
Long/short equity managers faced a difficult environment in which to make money.
European and emerging markets surged mid-month (over ten per cent) before giving back a large portion of the gains as the month ended.
US markets traded in a tighter range and ended the month down.
Long/short equity long bias managers unsurprisingly ended the month down 1.9 per cent, as did L/S equity variable bias managers and market neutral managers (both down 0.4 per cent).
The worst performing L/S equity strategy was statistical arbitrage (down 2.0 per cent), which struggled as macro events impacted all stocks simultaneously.
According to the Lyxor CTA Indexes, both long-term and short-term CTAs were able to preserve capital in June 2010. Both indexes were virtually flat on the month (down 0.2 per cent and 0.4 per cent respectively). A few factors influenced this outcome. CTAs suffered in May, and many reduced their risk exposure in response. Markets also featured some offsetting moves. Long bond positions gained on the month, but this was offset by losses in long equity positions. Similarly, the popular short euro position made impressive gains early in the month, which were reversed by mid-month.
The Lyxor Global Macro Index was down 0.7 per cent on the month as managers struggled with the same issues CTAs did. Managers with long equity or commodity exposures found them to be a drag on performance overall. Long bond, long gold, and short euro positions gained on the month.
Within the event driven space, merger arbitrage managers were flat (-0.1 per cent). The more volatile special situations managers were dragged down by their long equity exposure (-1.4 per cent). Special situations managers were able to offset losses in equities with gains in the long credit portion of their books. Similarly, the Lyxor Distressed Index was up 1.5 per cent as long credit positions combined with short equity positions (as hedges) both gained.
The L/S credit indexes posted positive performance on the month, up 1.2 per cent. Long credit positions generally rose as credit spread changes were swamped by declines in Treasury yields.
On a related note, dislocations in fixed income markets receded over the month, allowing fixed income arbitrage managers to post a robust 1.3 per cent gain on the month.
