Van Hedge Fund Index Stages Recovery In June

by Carla Johnson, Investors Offshore.com

20 July 2004

Confirming preliminary data released earlier this month, hedge fund consultant Van Hedge Fund Advisors International has reported that the Van Global Hedge Fund Index rose 0.5% net of fees in June.

The June Index was calculated from over 800 hedge funds following a broad range of investment strategies. Last month’s gain marks a turnaround for the Index, which saw net losses of -1.2% and -0.5% in April and May.

Excluding Funds of Funds, the Van Global Hedge Fund Index also returned 0.5% net in June. The Van US Hedge Fund Index, which includes only US-domiciled funds, gained 0.6% net in May, while the Van Offshore Hedge Fund Index, which includes only non-US-domiciled funds, rose 0.3% net for the month.

Stocks and bonds were both broadly positive in June and that created a more favorable environment for most hedge fund strategies. Nearly two-thirds of the funds in the Van Global Hedge Fund Index posted gains for the month, a considerably better showing than each of the prior two months when only about 40% were positive.

Among broad strategy groups, Long/Short Equity was the main beneficiary of the market’s upswing in June, averaging a 1.0% net gain. However, that figure still lags the S&P 500’s 1.9% June return or the Average Equity Mutual Fund’s 2.1% gain for the month.

As expected, Short Selling did not do well in the face of widespread equity gains, although the worst performing strategy in June was Futures, which lost -2.8% net. Convertible Arbitrage funds sustained uncharacteristic losses for the second straight month, averaging a -1.4% net return in June.

Those funds which generally employ systematic trendfollowing or counter-trend-following trading programs, have fared poorly recently, in part due to the changing interest rate environment, according to Van.

The Van Global Hedge Fund Index climbed to a value of 10,861.74 in June. The Index began with a value of 1,000 in January 1988. Over its 16½ year history, the Index has generated a net compound annualized return of 15.6%, compared to a 12.3% compound annualized return for the S&P 500.

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