The European crisis made June a volatile month for hedge fund markets, J.P. Morgan Prime Brokerage writes in a monthly survey, with overall performance edging in small gain of five basis points. Sourcing figures from the Hedge Fund Research (HFR) Indices, J.P. Morgan says equity-based funds made gains on risk assets, while macro managers and commodity trading advisers faced losses over fluctuations in fixed income and currencies.
Earlier this month, Eurekahedge posted a less optimistic evaluation, stating that hedge funds in their Hedge Fund Index underperformed the market in June, coming in at a 0.19% loss, making it the fourth consecutive month of negative returns. Performance for indexed funds is down 2.4% in the second quarter of 2012, making it the worst second quarter on record in the industry.
While performance has been down, the J.P. Morgan survey says, investors still believe that hedge funds should be part of their portfolio, as they concentrate their portfolio and look for managers that can deliver uncorrelated returns.
Gross leverage of levered prime brokerage accounts remained flat month-over-month, ending at 2.63, net exposure of equity strategies declined from 0.66 to 0.63, while net leverage remained flat at 0.54. The short exposure to government equities saw a 4.9% decrease.
(OS)