In the positive column, the S&P Event Driven Index turned in a 0.37% performance for the month while the S&P Directional/Tactical Index was the weakest in June , giving back 0.91%. Losses in Managed Futures were the major contributor to this month’s poor return due to excessively choppy markets that whipsawed most shorter and medium-term trend following models, S&P analysts said.
The primary market driver was the US Federal Reserve announcement late in the month. “We noted a reduction of risk and repositioning by many hedge fund managers in advance of the interest rate increase,” said Justin Dew, Standard & Poor’s senior hedge fund specialist.
Meanwhile, long/short strategies held even as recent returns in Asia were offset by difficult, albeit positive, trading markets in the U.S. and Europe. Macro managers exhibited a wide degree of dispersion in returns but as a group, ended the month down slightly, S&P said.
The S&P Arbitrage Index was down slightly over last month but was still in positive territory, returning 0.25% for the month. Fixed Income managers, and especially mortgage traders, were the best performers in this sector.
The S&P Managed Futures Index ended a difficult quarter, giving back 4.72% in June to end the quarter down 13.79%. The S&P Equity Long/Short Index had a return of 0.29% for the month as returns varied widely from manager to manager. Extremely low volumes and a lack of significant amounts of company specific information forced investment managers to focus heavily on stock fundamentals. U.S. and Japanese equity markets provided a bit of support on the long side as European markets drifted mostly sideways, S&P said.
More information is at www.sp-hedgefundindex.com .
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