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Global financial markets posted gains for June, trading in a wide intra-month range on high realized volatility as optimism over economic reopening was offset by concerns about a second wave of coronavirus contagion. US equities gained for the month led by Technology, Energy & Commodity exposures, while European & Asian equities also gained. US interest rates were little changed for the month, with the Federal Reserve indicating interest in keeping rates low for an extended period of time. The US Dollar declined on outlook for low rates, while Copper & Gold let gains in Metals; Oil led Energy commodity gains while Soybeans led Agriculturals. Hedge Funds & Risk Premia strategies posted gains with the HFRX Global Hedge Fund Index posting a gain of +1.75% for the period.
HFRX Event Driven Index posted a gain of +2.67% for June from gains in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Special Situations Index posted a gain of +2.82% from exposure to Global and Asian catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index posted a gain of +0.42% as M&A global activity started to resume in some regions and spreads on existing deals contracted.
HFRX Equity Hedge Index gained of +2.21% for June, from gains across all sub-strategies. The HFRX Fundamental Growth Index posted a gain of +3.23% from gains concentrated in Emerging Markets and global equities. The HFRX Fundamental Value Index posted a gain of +1.58% from exposure to US large-cap equities. The HFRX Market Neutral Index gained +1.92% for the month from gains in mean reverting, factor-based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index posted a gain of +1.76% for June from gains in Multi-Strategy and Convertible Arbitrage managers. The HFRX Convertible Arbitrage Index posted a gain of +2.45% for the month as volatility increased during the period. The HFRX RV: Multi-Strategy Index posted a gain of +1.70% for the month as interest rates were little changed.
HFRX Macro/CTA Index posted a decline of -0.29% for June from gains in Global Discretionary managers which were offset by declines in systematic trend-following strategies. Macro Discretionary managers posted gains from exposure to global Fixed-Income and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a decline of -0.94% as the US Dollar declined against most currencies, Oil markets gained, and Metals and Agricultural commodities were mixed.
Comments reference performance figures for June 30, 2020