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Alternative Market Briefing

Hedge funds record fourth consecutive monthly gain in June as global markets experience massive dislocations

Monday, July 11, 2016

Komfie Manalo, Opalesque Asia:

Hedge funds posted gains in June as global financial markets experienced massive dislocations across currency, equity, fixed income and commodity markets pursuant to the result of the UK referendum on EU membership (Brexit), Hedge Fund Research said in its latest report.

The HFRI Fund Weighted Composite Index returned +0.8% in June (+1.63% YTD), the fourth consecutive month of positive performance. Macro strategies posted their strongest monthly gain in over five years, while defensive hedging limited exposures of directional equity hedge and event-driven strategies.

HFR president Kenneth J. Heinz commented, "Hedge funds were positioned conservatively and defensively for an uncertain outcome of the Brexit vote, anticipating volatility and the potential for market dislocations even despite pre-vote gains in UK equities and sterling, which had prematurely and ultimately incorrectly discounted a different outcome of the UK referendum."

Macro hedge funds led strategy performance last month, as the British pound sterling collapsed concurrent with and pursuant to the publication of Brexit vote results, with the HFRI Macro Index surging +3.0% during the period (+3.53% YTD), the strongest gain since December 2010. Quantitative, trend-following CTA hedge funds were the leading area of substrategy performance, with the HFRI Macro: Systematic Diversified/CTA Index......................

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