Opalesque Industry Update - UCITS compliant Hedge funds posted declines, with the HFRU Hedge Fund Composite Index declining -2.33% in June. HFRU Relative Value Arbitrage Index declined -1.57% in June, with declines in Emerging Markets, Real Estate and Fixed Income strategies, only partially offset by gains in Asset-Backed strategies, tactical sovereign debt exposure and Volatility strategies. |
HFRU Event Driven Index posted a decline of -1.70% in June, with declines in Merger Arbitrage, Emerging Markets debt, Asian and European Special Situations strategies.
HFRU Macro Index posted a decline of -2.52% in June, with declines in Systematic, Metals, Risk Parity and Emerging Markets strategies, which were partially offset by Commodity, Active Trading and Volatility strategies.
HFRU Equity Hedge Index declined -2.76% in June, with losses in Emerging Markets concentrated in Brazil, Turkey, China and India, partially offset by hedged European and Japanese equity exposure.
HFR's June performance notes included: Global financial market volatility persisted throughout June as investors positioned for a reduction of stimulus efforts and bond purchases by the US Federal Reserve. US Treasury bonds posted sharp declines as yields rose sharply for the 2nd consecutive month, with 10 year bond yields topping 2.5 percent, an increase of over 80 basis point in 2 months. Government bonds yields also rose across UK, France, Germany, Italy, Spain and Switzerland; high yield credit also posted declines, with yields rising approximately 200 basis points for the month of June.
Gold and other Metals posted steep declines on expectations for reduced stimulus by the US Federal Reserve; Gold & Silver declined over -12 percent for the month. Global equities posted declines led by European, Asian and Emerging Markets exposures; China, Italy and Brazil posted the steepest declines, while Hong Kong, France, UK, Germany, Spain, Argentina, Turkey and the Netherlands all posted significant declines.
US equities posted more moderate declines, with the S&P 500 falling -1.5 percent, with declines in Commodity sensitive and Technology partially offset by gains in Energy. Following May's sharp gains, the US dollar was mixed against global currencies, posting narrow declines against the Euro, Japanese Yen & British Pound Sterling while gaining against commodity currencies including Australian Dollar, Brazil Real and New Zealand Dollar.