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Global financial markets posted gains for June, trading in a wide intra-month range on high realized volatility as optimism over economic reopening was offset by concerns about a second wave of coronavirus contagion. US equities gained for the month led by Technology, Energy & Commodity exposures, while European & Asian equities also gained. US interest rates were little changed for the month, with the Federal Reserve indicating interest in keeping rates low for an extended period of time. The US Dollar declined on outlook for low rates, while Copper & Gold let gains in Metals; Oil led Energy commodity gains while Soybeans led Agriculturals.
Commodity and Currency Bank Systematic Risk Premia strategies represented both the best and worst returns for June 2020 as they experienced both shifts in their forward curves and pronounced trends. The HFR BSRP Commodity Value and Commodity Carry Indices were up +10.70% and +2.62% on the month, cumulating +29.97% and +28.56% YTD performance respectively. Conversely, HFR BSRP Currency Value and Currency Momentum Indices declined -2.37% and -3.70% in June, with their YTD performance totaling +16.10% and +7.75% respectively.
Comments reference performance figures as of June 30, 2020