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Equities traded in a wide range and inflationary pressures remained salient as Global financial markets gained in June. US Equity markets gained led by Technology & Energy, while European & Asian markets posted mixed performance. Interest rates declined while the US Dollar gained on moderation of labor market/employment strength. Commodity gains were led by Energy, including Oil & Natural Gas, while Metals and Agricultural commodities fell led by Copper, Platinum & Lumber.
Hedge Funds and Risk Premia indices posted gains with the HFRX Global Hedge Fund Index gaining +0.38% and the HFRX Market Directional Index gaining +1.98% for June.
HFRX Equity Hedge Index posted a gain of +1.16% for June, from gains in Fundamental Growth and Value strategies. The HFRX Fundamental Growth Index posted a gain of +2.14% from exposure to growth US and Emerging Markets equities. The HFRX Fundamental Value Index gained +0.81% from gains in exposure to large-cap US & Global equities. The HFRX Market Neutral Index declined -0.88% for the month from declines in mean reverting, factor-based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index posted a gain of +0.34% for June from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Convertible Arbitrage Index posted a gain of +0.57% as volatility remained low during the period. The HFRX RV: Multi-Strategy Index posted a gain of +0.32% for the month as long-dated yields decreased during the month. HFRX Event Driven Index posted a gain of +0.12% for June, with gains in Special Situations equity strategies which were only partially offset by declines in Merger Arbitrage managers. The HFRX Special Situations Index posted a gain of +0.15% from gains in exposure to Global and Asian catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index declined -0.27% from mixed performance of managers as activity in global M&A deals continued during the period.
HFRX Macro/CTA Index posted a decline of -0.60% for June, from gains in Discretionary Thematic managers which were offset by declines in Systematic trend-following managers. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income and global multi-asset strategies. The HFRX Macro Systematic/CTA Index posted a decline of -2.15% as the US Dollar strengthened against most major currencies and Energy commodities posted strong gains while Metals declined and Agriculturals were mixed
Comments reference performance figures as of June 30, 2021