Hedge funds retreated 1.95 per cent in June, as measured by the Dow Jones Credit Suisse Core Hedge Fund Index, with only one strategy out of seven gaining.

The decline is more significant than May’s 1.71 per cent setback, and the index remains down 1.10 per cent in 2011.

“Headlines over eurozone debt concerns dominated markets and set the tone for a second consecutive negative month,” said Oliver Schupp, president of Credit Suisse Index.

Fixed Income Arbitrage, which recorded a 0.20 per cent rise, was also the best performer in May, when it went down 0.03 per cent and all other strategies in the range declined more.

Global Macro took the biggest hit, falling 3.12 per cent last month, followed by Managed Futures, which dropped 2.92 per cent.

The Emerging Markets strategy fell marginally by 0.11 per cent - an improvement from a 0.97 per cent decline in May. With 2.38 per cent increases in 2011, Emerging Markets and Fixed Income Arbitrage are the most successful strategies so far this year.