The index declined by 1.95 per cent and 1.71 per cent in May and June, respectively, and remains down 0.91 per cent in 2011.

The Managed Futures sector recovered impressively to 3.61 per cent after dropping nearly 3 per cent in the previous month. Emerging Markets also bounced back with a 1.20 per cent rise from a 0.11 fall in June.

Event Driven took the biggest hit with a 1.22 per cent drop; an improvement from the 2.69 per cent plunge the month before.

Fixed Income Arbitrage was the only strategy that did not advance from the previous month. It fell 0.35 per cent after rising 0.20 per cent June. At 2.02 per cent, it is still the second best performer in 2011, after Emerging Markets at 3.61 per cent.