A benchmark of hedge fund returns provided by Lyxor, the asset management arm of France’s Société Générale, showed that returns are still up from the start of 2012 despite a 0.47 per cent dip in June.
Some seven indices of different hedge fund strategies out of a total of 14 were in positive territory, led by Lyxor Fixed Income Arbitrage (+1.97 per cent) and Lyxor L/S Equity Long Bias (+1.95 per cent).
The mixed performance for June came as market volatility rose above its 2012 average, Lyxor said in a regular monthly report on returns.
During May and June, the MSCI World Index of equity market returns fell by 4.5 per cent, significantly further than the fall in the Lyxor Hedge Fund Index of 1 per cent.
In the event-driven hedge fund category, credit-related themes delivered returns; distressed managers gained 0.7 per cent in June, while more equity-related special situations managers fell by 0.8 per cent. Within the segment, specific managers suffered from a sharp sell-off of gold. Merger arbitrage managers recorded a positive performance of 0.3 per cent.
Directional trading funds, which had performed strongly in May amidst market falls, gave back some of their gains in June. Long-term models lost 3.7 per cent, long treasuries and slightly net short equity positions explaining these losses. On the other hand, short-term models managed to turn positions and protected last month's gains. The strategy finished the month with an 1.1 per cent fall, Lyxor said.