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Hedge funds declined for a third consecutive month in June with a return of -2.7%

Monday, July 18, 2022
Opalesque Industry Update - Hedge funds declined for a third consecutive month in June with a return of -2.7%, recording their worst monthly performance since the onset of the pandemic in March 2020.

Following the retreat, the Eurekahedge Hedge Fund Index has slipped to -5.6% YTD, marking its worst H1 performance since inception.

Global equities, as represented by the S&P 500, fell by a staggering 8.4% as investors moved to price in an increased risk of recession as the Federal Reserve embarked on an aggressive series of interest rate hikes to fight soaring inflation.

Hedge funds posted losses across all strategies in June, with event-driven funds (-4.0%) faring the worst due to difficult markets ahead of the Fed's rate decision, with widening spreads in merger arbitrage and deal flow in June being lower. But sentiment improved towards month-end, particularly in leveraged buyouts.

Only CTA/managed futures have positive gains in 2022, supported by the positive trends in commodities and the dollar and negative trends in bond prices Performance was negative across all regions in June, with North Americanfocused funds posting the sharpest losses (-3.5%).

North America had the highest median 3-year annualized return of 6.5%, while Europe fared the worst with a median 3-year annualized return of 3.9%.

European funds posted the smallest top/bottom decile dispersion of 16.4%, compared to almost 20% for the rest of the regions.

Trend-following is the best performing sub-strategy in 2022, posting gains of 16.4%. Trendfollowing funds have traditionally demonstrated low correlation to equities and fixed income and have the potential to perform well in both bear and bull markets.

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