Hedge Funds Down 2% In June; Managed Futures Biggest Losers

Yet again CTAs, the trend-following gurus, suffered the most in the hedge fund industry in the month of June. Lyxor’s weekly updates report a 4.8% loss suffered by these quant funds, which further pushed down their YTD return to -3.5%. CTAs were particularly impacted in the last week of the month as the Lyxor’s CTA Broad Index dropped 2.5% for the week. Lyxor further notes that the main contributors to the poor performance of the managed futures strategy was the slump in equity markets as long positions were hurt with the decline in global equities. However, forex and rates affected CTA performance only…