The June returns for Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Hedge Fund Research Indexes and Lyxor Alternative Index.

Dow Jones
The Dow Jones Credit Suisse Hedge Fund Index gained 0.69% in July, with six out of 10 strategies posting positive performances. Managed futures staged a turnaround from being the worst-performing strategy in June to emerge as the best in July. The strategy posted positive performance of 4.03% as manager positions in short-term rates, bonds and short USD dollar proved profitable during the month. In June managed futures fell 3.07%. Dedicated short bias continued its winning run since May, finishing up 3.01%. Only four strategies posted negative returns in July, a sharp contrast to June when only two posted positive returns. The strategies that were in the red in July were event driven (down 0.78), long/short equity (down 0.41), equity market neutral (down 0.178) and convertible arbitrage (down 0.14%). In addition to its overall positive performance, the industry saw an estimated $5 billion net inflows.

Frontier
The Frontier Multi Asset Platform (MAP) Fund returned a positive 0.9% in July, reversing its negative performance in June when it was down 1.7%. The best-performing asset classes were commodities and managed futures both up 3.2% followed by emerging bonds (up 2.1%) and global bonds (up 1.1%). The worst-performing asset class was global equities, down 1.8% on the month, followed by emerging equities, down 0.4%. Over the five years to July 2011, the MAP strategy has generated 1.9% annualised returns with volatility of 9.5%. The Frontier Multi Asset Platform (MAP) is an investable fund tracking eight global asset class indexes using an asset allocation inspired by US university endowments such as Harvard and Yale.

HFRX
The HFRX Global Hedge Fund Index declined 0.11% for July with only two strategies, macro (1.27%) and relative value (0.26%), posting positive returns. The decline reflected concerns by investors with regard to both the extension of the US debt limit and continuing worries about European sovereign debt. The Event Driven Index fell 0.66% with negative contributions from all event driven sub-strategies. The Equity Hedge Index declined 0.84% with negative contributions across all sub-strategies. The Equity Market Neutral Index declined 0.51% paring year to date gains on weakness in factor-based behavioural strategies. Deal spread widening generally and specific transaction in the media sector contributed to losses in the M&A sector, with the HFRX Merger Arbitrage Index declining 0.85% for the month. The Distressed Securities Index fell 0.42%. Widening credit spreads contributed to mixed performance across convertible arbitrage managers, with the Convertible Index declining 0.75%.

Lyxor
The Lyxor Global Hedge Fund index gained 0.22% in July, a month dominated by concerns over the European and US debt crises. The Lyxor Long-Term CTA Index gained 3.6% on the month and the Lyxor Short-Term CTA Index was up 1.9%. The Lyxor Global Macro Index posted a 1.0% positive performance driven by managers with long bond and long precious metal exposures. The Lyxor Special Situations Index declined 0.9% as managers with significant exposures to financial stocks suffered disproportionately. The Lyxor Merger Arbitrage Index fell 1.6% with some losses attributable to the cancellation of a high-profile merger in the UK after the UK News of the World (part of Murdoch’s media empire) phone-hacking scandal. Some of the more active long/short equity managers were able to navigate the choppy month respectably. The Lyxor Long/Short Variable Bias Index gained 0.4%. The Long/Short Equity Long Bias Index fell 1.4% and the Market Neutral Index declined 0.5%. While the Statistical Arbitrage Index fell 1.6%, the Fixed Income Arbitrage Index was virtually flat at 0.1%. Managers with a European focus bore the brunt of the volatility and generally underperformed US-focused managers, whatever the equity strategy type.