Hedge funds suffered their second-straight losing month in June, as stocks also followed their down May with a red June.
The average hedge fund dropped 1.59% last month, Hedge Fund Research’s HFRX Global Hedge Fund Index shows. The benchmark is down 2.12% on the year.
The Standard & Poor’s 500 Index was down 1.67% in June, but the broader market index remains up 6% on the year.
Systematic diversified funds were particularly hard-hit, dropping 3.49% on the month (down 6.4% year-to-date). Macro funds didn’t do much better, losing 2.35% in June (down 2.14% YTD).
Equity hedge funds were down as much, falling 2.36% (down 8.32% YTD). Fundamental value funds shed 2.57% and are down 9.95% on the year.
Not every strategy is in the red on the year—although almost all were down in June. Special situations funds were up 2.25% in the first half despite losing 1.52% on the month, while multi-strategy relative-value arbitrage funds were up 1.92% (down 0.39% YTD).
The one strategy not to lose ground in June, equity market neutral, was up 2.72% after rising 0.89% last month.
Event-drive funds lost 1.31% on the month but were up 1.44% over the year. Merger arbitrage funds lost 1.52% in June but are up 2.25% this year. Convertible arbitrage funds are up 1.64% in the first six months of 2011 after dropping 1.21% in June, and relative value funds are up 1.39% after losing 0.51% on the month.