Opalesque Industry Update - HFR's UCITS indices report the HFRU Event Driven Index posted a decline of -1.06% through mid-June, from declines in Asian and Brazilian Special Situations, Merger Arbitrage and Emerging Markets Credit strategies. |
HFRU Relative Value Arbitrage Index declined -1.07% through mid-June, with declines in Emerging Markets, Convertible Arbitrage and Real Estate strategies, only partially offset by gains in Asset-Backed exposure and Volatility managers.
HFRU Macro Index posted a decline of -1.83% through mid-June, with declines in Systematic, Global and Emerging Markets strategies, which were partially offset by idiosyncratic commodity exposure.
HFRU Equity Hedge Index declined -2.11% through mid-June, with losses in Emerging Markets concentrated in Brazil, China and Turkey, partially offset by European equity exposure.
Global financial market volatility increased through mid-June, as investors reduced portfolio risk in anticipation of curtailment of stimulus measures by the US Federal Reserve and as a result of continuing secular unrest in Turkey & Syria. Asian, European and Emerging Market equities posted steep declines through mid-June, led by equities in Japan, South Africa, China, Turkey, Italy & Brazil. US equities posted narrow declines, with weakness in Commodity and Technology sensitive sectors partially offset by gains in Cyclical, Energy and Healthcare equities.
Government bond yields rose through mid-June, rising incrementally and trading in a volatile range after the sharp spike in May; TIPS yields rose as investors sold inflation protected bonds in anticipation of stimulus curtailment, driving real yields into positive territory for the first time in 18 months. Yields also rose across Europe, led by increases in Italy, Spain & Greece. Reversing previous month's gains, the US dollar fell sharply against developed market currencies including the Euro, British Pound Sterling, Japanese Yen and Swiss Franc, although the dollar gained against Emerging Market currencies. Energy and Agricultural commodities gained, led by Crude Oil, Cotton & Hogs, while Metals declined led by Copper & Aluminum. UCITS compliant Hedge funds posted declines, with the HFRU Hedge Fund Composite Index declining -1.72% through mid-June.