Four of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net of fees losses in June, although only one – convertible arbitrage – lost ground overall in the seco
Four of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net of fees losses in June, although only one – convertible arbitrage – lost ground overall in the second quarter of the year.
Singapore-based alternative investment data provider and consultancy firm Eurekahedge says early reports suggest a flat to negative month in June, while most of the strategy indices and all the regional emerging market indices calculated by Hedge Fund Research were in negative territory for the month.
According to Dow Jones Indexes, June losses ranged from a decline of 2.80 per cent for event-driven funds to just 0.08 per cent for convertible arbitrage. Distressed securities saw a fall of 1.36 per cent and merger arbitrage of 1.03 per cent. Equity long/short and equity market neutral were the only strategies with gains for June, returning 0.53 and 1.90 per cent respectively.
On a quarterly basis, the benchmarks enjoyed an almost complete reversal of fortune with five of the six strategies posting gains in the second quarter, having all been down in the first three months of the year.
Convertible arbitrage was the only losing strategy for the second quarter with a decline of 1.39 per cent. In sharp contrast, equity long/short was the overwhelming front-runner for the quarter posting a return of 9.33 per cent, outperforming the next best strategy (equity market neutral) by more than 7 per cent.
Halfway through the year, equity long/short is the top performing strategy with a gain so far of 2.55 per cent, followed by equity market neutral with 1.50 per cent. Merger arbitrage gained a thin 0.40 per cent for the first half, while event driven was down by the barest of margins, 0.01 per cent.
However, distressed securities was down 5.11 per cent after losing ground in both quarters, while convertible arbitrage remains the trailing benchmark with a cumulative loss of 6.09 per cent for the year to date.
This performance is thrown into relief, however, by sharply declining US and global equity prices, with the Dow Jones Wilshire 5000 and Dow Jones Wilshire Global Index down by 8.14 and 8.30 per cent respectively in June to round off a highly volatile second quarter. The indices have fallen by 10.92 and 10.72 respectively over the first half of 2008. Fixed income, as measured by the Dow Jones Corporate Bond Index, was down by 0.49 per cent in June and has gained just 0.12 per cent so far this year.
The June figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for last month will be available toward the end of July.
Singapore-based alternative investment data provider and consultancy firm Eurekahedge also says that results from early reporting funds suggest a flat to negative month for hedge funds in June, with an average decline from results so far of 0.21 per cent.
Eurekahedge attributes the less than sparkling results to wide swings across key asset classes in underlying markets, as evidenced by the 8.1 per cent decline for the MSCI World Index, while energy prices continued their rise, with crude oil setting another record high of more than USD140 a barrel at month’s end.
The firm says its reports from managers indicate a hefty decline of 6.51 per cent for long-only absolute return funds, while funds of hedge funds averaged a loss of 0.68 per cent. Its regional indices show a gain so far only for North American hedge funds (0.04 per cent), while emerging markets funds are down 2.85 per cent, Eastern Europe and Russia by 3.02 per cent and Asia by 3.24 per cent.
Eurekahedge reports gains in June for managed futures (3.10 per cent), distressed debt (0.53 per cent), arbitrage funds (0.14 per cent) and relative value (0.02), while long/short equity, macro and multistrategy funds were all down on average by more than one per cent.
Hedge Fund Research’s HFRI Weighted Composite Index was down 0.68 per cent for June on the basis of returns from funds reporting up to July 8, leaving the index with a decline of 0.75 per cent for the first six months of the year.
The HFRI Equity Hedge Short Bias Index was the standout performer with a gain for the month of 8.60 per cent, bringing the cumulative performance so far this year to 12.20 per cent. The HFRI Macro Systematic Diversified Index performed even better in the first half with 12.66 per cent after a 2.75 uplift.
However, the only other strategies in positive territory for June were equity market neutral (2.09 per cent), macro (1.75 per cent), distressed/restructuring (0.83 per cent), corporate fixed income (0.48 per cent) and asset-backed fixed income (0.18 per cent). The biggest losses for the month were in convertible arbitrage (3.51 per cent) and technology/healthcare (2.52 per cent).
Over the first six months of 2008 the HFRI Total Macro Index has gained 7.61 per cent, the Equity Market Neutral Index 3.14 per cent, the Energy/Basic Materials Index 2.87 and the Asset-Backed Fixed-Income Index (1.57 per cent).
However, convertible arbitrage has lost 7.62 per cent in 2008 and other strategies down from their year-end levels are technology/healthcare (3.35 per cent), equity hedge (3.31 per cent), quantitative directional (3.25 per cent), corporate fixed income (2.56 per cent) and multistrategy (2.46).
The HFRI Emerging Markets Total Index was down 3.42 per cent in June and 6.74 per cent for the half-year. Among HFR’s emerging market regional indices, losses ranged from 5.57 per cent (Asia ex-Japan) to 1.40 per cent (Latin America). The latter was the only emerging market index up for the year (3.06 per cent), while Asia ex-Japan Index declined by 14.16 per cent. The HFRI Fund of Funds Composite Index was down 0.72 per cent in June and by 2.29 per cent for the first half of the year.
