Opalesque Industry Update - Extending many of the trends from May, global financial markets traded in a volatile range through mid-June, responding to weak US employment data, new and continuing concerns about European financial institution stability and in anticipation of the results of political elections in Greece. Despite this global equity markets posted broad-based gains for the month, with Spain, Italy and Russian equity markets posting June gains following steep May losses; US, Asian and Emerging Markets generally posted gains. US and German yields rose through mid-month after touching historical lows in early June, while yields in Spain, Italy and France rose significantly as investors remained concerned about Euro sovereign credit risk. The US dollar declined against the Euro and British Pound, while strengthening against the Japanese Yen; energy commodities generally declined, while Metals rose through mid-month. Hedge funds posted declines through mid-June, with the HFRX Global Hedge Fund Index posting a decline of -0.54 percent. The HFRX Absolute Return Index posted a more narrow decline of -0.14 percent.|
The HFRX Equity Hedge Index posted a decline of -0.38% through mid-June as global equity markets continued to experience volatility from uncertainty, despite equities posting gains through mid-June. Exposure to Asian equities contributed to losses for the HFRX Fundamental Growth Index, while US and European exposures contributed to a narrow gain for the HFRX Fundamental Value Index. Market Neutral strategies were adversely impacted by the equity volatility, with the HFRX Equity Market Neutral Index declining by -0.98%.
The HFRX Macro CTA Index posted a decline of -1.06% through mid-June with declines concentrated in systematic and commodity strategies only partially offset by gains in currency and emerging markets exposure. The HFRX Macro Systematic Diversified CTA Index declined by -1.89% with losses resulting from sharp reversals in commodities and fixed income. Discretionary managers had mixed performance with gains in currency and emerging markets exposure offset by mixed performance in commodities.
The HFRX Event Driven Index posted a decline of -0.38% through mid-June with weakness concentrated in Distressed and credit sensitive exposures. The HFRX Distressed Index declined -0.63% while the HFRX Special Situations Index declined by -0.52%, with both of these maintain YTD gains of +3.1% and +1.5%, respectively. The HFRX Merger Arbitrage Index posted a more narrow decline of -0.17%, while Activist and Market Neutral Credit Arbitrage strategies had positive contributions to Index performance.
The HFRX Relative Value Arbitrage Index posted a decline of -0.42% through mid-June as yields rose from historical low levels in early June contributing to declines across US corporate fixed income and energy infrastructure exposures. The HFRX RV Multi-Strategy Index posted a narrow decline of -0.02%, with gains in Latin American sovereign debt exposure, offset declines in Asian credit exposure. The HFRX Convertible Arbitrage Index posted a decline of -0.47%, with losses in US & European ED convertible exposures only partially offset by gains in Asian convertible exposure. Full press release: Source