Bringing you live news and features since 2006 

Credit Suisse/Tremont Hedge Fund Index to finish up 0.48 per cent In June


Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index will finish up 0.48 per cent in June, based on 66 per cent of assets reporting.

Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index will finish up 0.48 per cent in June, based on 66 per cent of assets reporting.

Following May’s strong performance of 4.06 per cent, June appeared to be a consolidation month for hedge funds with returns of 0.48 per cent, with credit-oriented managers generally outperforming directional, event driven and tactical strategies. While returns were limited for certain strategies, many were able to retain profits gained earlier this year.

Government activism in the markets continued in Europe, as the European Central Bank provided EUR442bn to financial institutions at a rate of one per cent. Many believe this could provide opportunities for credit-oriented hedge fund managers and to facilitate carry trades.

In the US, the Fed continued its zero interest rate policy as global macro data continued to be mixed.

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 per cent, with some managers starting to profit from the volatility arbitrage aspect of the strategy as equity markets recovered from March lows. The strategy received more attention as a credit play earlier in the year, given the 4Q 08 devaluations many convertible bonds experienced.

Developed equity markets largely moved sideways for the month, although 2Q performance was the best since late 1998, with the S&P 500 gaining 15 per cent for the quarter and Nasdaq gaining 20 per cent.

June’s sideways market movements allowed some of the defensively positioned long/short equity managers to take profits on the month’s market dips, as opposed to the previous three months, when equity rallies allowed high-beta managers to make large gains. Sideways markets can benefit certain managers since there is usually less correlation among sectors, providing increased opportunities for tactical moves.

Emerging markets experienced a -650 bps swing in returns from May to June, with a wide dispersion of returns for both regional equity indices as well as for managers. Russia’s Micex index was the notable outlier on the downside, dropping more than 20 per cent from its 2009 peak, and became the first benchmark equity index to technically enter a bear market since global stocks began rallying in March. Nonetheless, the Micex was up 43 per cent for the quarter, the Bombay Stock Exchange’s benchmark Sensitive Index (Sensex) was up 49 per cent on the quarter, while Brazil’s Bovespa was down 3.3 per cent in June, but up 26 per cent for the quarter.

In the event driven space, some managers gave back a portion of the profits they made in May, but many believe opportunities continue to develop as credit delinquencies rise. Some event driven managers are adding exposure to risk arbitrage anticipating several deals that may close in the third or fourth quarters.

Latest News

BlackRock’s global ETP flows report for June finds a steady rise with USD128.1 billion added to global ETPs in June,..
Morningstar’s global ETF flows report for the first half of 2024 shows that actively managed ETFs have captured 25 per..
The surge in bitcoin ETF launches and funds flowing into the sector is transforming institutional investment in digital assets but..
LSEG Lipper’s latest research finds that the majority of actively managed funds and ETFs globally were not able to beat..

Related Articles

Chris Lo, Columbia Threadneedle
In a recent insight on India by Columbia Threadneedle Investments, the firm reports that the country’s economic reforms, which aim...
With an election on the horizon in the United States a group of ETFs is poised to capture investments on...
Robot worker
Qraft Technologies, based in South Korea, specialises in the use of AI in security selection and portfolio construction....
Andrea Busi, Directa SIM
Romain Thomas talks to Andrea Busi (pictured), CEO of Directa SIM, who explains why the online trading platform has just...
Subscribe to the ETF Express newsletter

Subscribe for access to our weekly newsletter, newsletter archive, updates on the site and exclusive email content.

Marketing by