Average aggregate hedge fund returns fell slightly in June but remained flat throughout the second quarter, according to performance analysis by eVestment.
Hedge funds returned an average for the quarter ended June 30 of -0.02% and an average -1.32% for the month of June.
The losses for June were not concentrated to any specific segment, but emerging markets contributed to some of the industry's biggest losses, according to eVestment's monthly hedge fund performance report. Strategies with exposure to India and Brazil experienced the worst returns, returning -8.45% and -5.40% respectively.
Commodities continued to produce losses, with an average aggregate return of -0.52% in June, the ninth out of the last 10 months that the group has produced aggregate losses. It returned -1.73% in the second quarter and has an average aggregate return year-to-date of -3.11% compared to the overall hedge fund year-to-date average aggregate return of 3.23%.
Credit strategies in June had its largest monthly loss since September 2011 of -1.17%, in part due to the group's exposure to U.S. Treasuries, while macro strategies also experienced its largest loss since September 2011, again due to high correlation to treasuries, returning -1.69%.
Energy sector hedge funds were the bright spot, returning 1.36% in June. The sector had returned 6.93% year-to-date as of June 30.
Long/short equity hedge funds returned an average aggregate -1.47% in June, and -0.55% for the second quarter.