S&P Hedge Index Ticks Down in June

July 8, 2004 (PLANSPONSOR.com) - June hedge fund performance as measured by the Standard & Poor's Hedge Fund Index was down a notch ( 0.25%) for a year-to-date 0.34% showing.

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 .