07/08/2019 Market Commentary

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HFRI Equity, CTA/Trend-following and Activist strategies lead broad-based gains; Cryptocurrency funds surge over 82 percent for 2019
CHICAGO, (July 8, 2019) – Hedge funds posted strong, broad-based gains in June, with multiple and varied drivers of performance leading advances across a wide range of strategies. The HFRI Fund Weighted Composite Index® gained +2.6 percent for the month, the strongest month since January, increasing the Index Value to 14,408, a record level according to data released today by HFR®, the established global leader in the indexation, analysis and research of the global hedge fund industry. The June gain recovers the decline from the prior month and brings 2019 performance to +7.6 percent. 
The HFRI 500 Fund Weighted Composite Index, an investible index of 500 leading hedge funds, returned +1.9 percent for June. Liquid Alternatives also advanced in June, as the HFRI-I Liquid Alternative UCITS Index added +1.3 percent for the month, led by the HFRI-I Liquid Alternative UCITS Relative Value Index which returned +1.55 percent. 
HFRI performance was led by Equity Hedge (EH) strategies, with the HFRI Equity Hedge (Total) Index gaining +3.2 percent, also the strongest month since January, bringing YTD 2019 performance to +9.4 percent. All EH sub-strategies advanced for the month, led by Quantitative, Growth and Technology exposures. The HFRI EH: Quantitative Directional Index gained +3.9 percent for the month, while HFRI EH: Fundamental Growth Index advanced +3.9 percent and HFRI EH: Technology Index jumped +4.0 percent. 
Macro strategies also posted strong returns in June, with the HFRI Macro (Total) Index advancing +2.5 percent, the strongest month since January 2018, with strong performance across both quantitative and fundamental strategies. Quantitative, trend-following funds led Macro sub-strategy performance with the HFRI Macro: Systematic Diversified Index advancing +2.93 percent for the month, while the HFRI Macro: Discretionary Thematic Index returned +2.91 percent and the HFRI Macro: Active Trading Index added +2.88 percent. 
Risk Premia and Risk Parity strategies also posted strong gains as risk on sentiment re-emerged after the May decline, led by Credit & Multi-Asset strategies. Risk Parity gains were led by equity and fixed income, with the HFR Risk Parity Volatility 15 Index gaining +8.0 percent. The HFR BSRP Credit Index advanced +13.1 percent for June, while the HFR BSRP Multi-Asset Index surged +13.5 percent. In credit, HFR BSRP Credit Momentum Index surged +17.5 percent for June. Rates strategies posted strong gains in June, with the HFR BSRP Rates Index Rates Index gaining +3.23 percent, led by the HFR BSRP Rates: Momentum Index which gained +8.84 percent on the month, bringing the 2019 gains to +24.77 percent. In equities, Equity Volatility gained +3.57 percent as volatility declined. Performance in commodity strategies was mixed, led by the with the HFR BSRP Commodity Volatility Index gaining +6.7 percent, The HFR BSRP Trend Following Index gained +4.9 percent for June, while the HFR BSRP Multi-Asset Momentum surged +16.49 percent on the month, bringing the 2019 gain to +32.15 percent.
Event-Driven (ED) and Relative Value (RV) also gained for the month, led by Activist and Corporate exposures. The HFRI Event-Driven Index advanced +2.0 percent for the month, led by the HFRI ED: Activist Index, which surged +5.0 percent. Fixed income-based Relative Value Arbitrage strategies also gained for the month with the HFRI Relative Value (Total) Index advancing +1.2 percent, led by the HFRI RV: Corporate Index, which returned +1.9 percent.
Cryptocurrency funds extended the May surge in June as many underlying currencies advanced on the announcement of Facebook’s Libra cryptocurrency, with the HFR Cryptocurrency Index vaulting +14 percent for the month, bringing the YTD 2019 return to +82.4 percent.
“Hedge funds posted broad-based gains to conclude the strongest first half of a calendar year, with varied and wide range of leadership including equity, technology, M&A-focused, trend-following, quantitative and blockchain/cryptocurrency exposures,” stated Kenneth J. Heinz, President of HFR. “The HFRI recovered performance declines from the prior month as the oscillating pattern of risk on/risk off sentiment reverted back to risk on, with constructive developments on trade negotiations providing a strong tailwind for performance gains. It is likely that the W-shaped equity market pattern will continue throughout 2H19, with funds tactically positioned to benefit from opportunities presented leading industry performance and growth.”