After a record quarter ended May 2009, hedge funds had a subdued month in June. The composite Eurekahedge Hedge Fund Index returned 0.2%1, on the back of flat to negative returns across key asset classes; the MSCI World Index down 0.6% and the S&P 500 flat, while the commodity markets as measured by the Continuous Commodity Index fell 4.4%.
In terms of geographical mandates, emerging market managers were up 1.2% on average, as allocations to Asia and Latin America returned 1.9% and 1.2% respectively; Asian managers made healthy gains from their exposure to Chinese and Japanese stocks, which rose 12.4% and 4.6% respectively in June. Eastern European managers, however, lost 1.5%, as regional equities pulled back strongly (MSCI EM Eastern Europe Index was down 10.4%), partly owing to resurfacing concerns about the region’s banking sector.
Equities across developed European markets also turned in losses, with the FTSE 100 shedding 3.8% during the month, with sectors such as energy and materials leading the market down. Against this backdrop, the European Hedge Fund Index finished the month down 0.2%, despite regional fixed income managers returning an impressive 4.2%, benefiting from rising government bond prices.
North American hedge funds were up 0.6% on average, with arbitrageurs and fixed income managers standing out in the region faring impressively (up 2.3% and 2.5% respectively).
The chart below shows hedge fund returns for June 2009, May 2009 and 2009 YTD across the different geographical mandates.