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July 6, 2006
Minimal damage In June
Early results indicate that hedge funds suffered less damage in June than originally predicted. Of the six strategies in the Dow Jones Hedge Fund Strategy Benchmarks Index, only equity long/short suffered a relatively severe fall, down 1.6% on the month, while convertible arbitrage was off by a paltry 0.1%. Distressed securities was flat, but the other three all inched up following May’s fall, with merger arbitrage up 1.1, event driven up 0.3%, and equity market neutral up 0.8%. The strategies made something of a comeback at the tail end of June, but the past month has taken a toll on the 52-week returns, with equity long/short falling from 8.9% at the end of May to 6.3% at the end of June. Four other strategies recorded 52-week drops, except for merger arbitrage which rose 0.8% for the period. Hit hardest in the 52-week returns are convertible arbitrage (down 2.1%), event driven (down 1.2%) and distressed securities (down 1.5%). Meanwhile, Merrill Lynch says hedge funds lost an average of 0.65% in June – about half the May losses, but HFs are still well ahead of the S&P 500 index year to date, 3.8% to 1.8%.
-dailyii.com-
Posted by su at July 6, 2006 10:50 AM