By Jennifer Chiou
New York, July 9 - Credit Suisse said that early estimates indicate that the Credit Suisse/Tremont Hedge Fund index will finish with a gain of 0.48% in June.
The figure is based on 66% of assets reporting, according to a company news release.
The release added that following May's strong performance of 4.06%, June appeared to be a consolidation month for hedge funds with returns of 0.48%, with credit-oriented managers generally outperforming directional, event-driven and tactical strategies.
While returns were limited for some strategies, many were able to retain profits gained earlier this year, Credit Suisse said, adding that government activism in the markets continued in Europe, as the European Central Bank provided €442 billion to financial institutions at a rate of 1%.
Many believe this could provide opportunities for credit-oriented hedge fund managers and to facilitate carry trades, the release noted.
In the United States, the Fed continued its zero interest rate policy as global macro data continued to be mixed, Credit Suisse added. Generally, credit spreads improved over the month, and relative value managers had positive performance overall.
Convertible Arbitrage had its sixth straight month of positive performance and posted the best monthly performance of all the strategies in the index with 4.0%, with some managers starting to profit from the volatility arbitrage aspect of the strategy as equity markets recovered from March lows, the release said. The strategy received more attention as a credit play earlier in the year, given the fourth-quarter 2008 devaluations many convertible bonds experienced.
Credit Suisse said that emerging markets experienced a negative 650 basis points swing in returns from May to June, with a wide dispersion of returns for both regional equity indexes as well as for managers.
Russia's Micex index was the notable outlier on the downside, dropping more than 20% from its 2009 peak, and became the first benchmark equity index to technically enter a bear market since global stocks began rallying in March, according to the release.
Nonetheless, the Micex was up 43% for the quarter, the Bombay Stock Exchange's benchmark Sensitive index was up 49% on the quarter, while Brazil's Bovespa was down 3.3% in June, but up 26% for the quarter. Overall, the emerging markets sector finished June relatively flat.
Strategy estimates are included in the table below.
The index is published by Credit Suisse Tremont Index LLC, which is a New York-based joint venture company of Credit Suisse Index Co., Inc. and Tremont Group Holdings, Inc.
Strategy estimates
| Index/sector | June | May | Year to date
|
| Credit Suisse/Tremont Hedge Fund index | 0.48% | 4.06% | 7.23%
|
| Convertible Arbitrage | 4.00% | 5.81% | 23.90%
|
| Dedicated Short Bias | Negative 2.06% | Negative 0.55% | Negative 10.89%
|
| Emerging Markets | 0.42% | 6.96% | 12.91%
|
| Equity Market Neutral | Negative 0.08% | 3.63% | 1.23%
|
| Event Driven | 1.27% | 4.22% | 6.91%
|
| Distressed | 1.81% | 4.15% | 6.71%
|
| Event Driven Multi-Strategy | 0.93% | 4.31% | 7.00%
|
| Risk Arbitrage | 0.32% | 1.85% | 5.73%
|
| Fixed-Income Arbitrage | 2.02% | 4.33% | 12.04%
|
| Global Macro | Negative 0.87% | 1.47% | 3.37%
|
| Long/Short Equity | 0.23% | 5.23% | 8.49%
|
| Managed Futures | Negative 2.28% | 0.85% | Negative 7.39%
|
| Multi-Strategy | 1.59% | 4.28% | 12.26%
|
| MSCI World | Negative 0.61% | 8.62% | 4.76%
|
| Barclays Capital Aggregate Bond index | 0.41% | 3.57% | 1.52%
|
| Dow Jones UBS TR Commodities index | 1.07% | 13.00% | 7.79%
|
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