HFRI Indices June 2017 performance

07/10/2017 Market Commentary

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Emerging Markets, Equity Hedge lead HFRI to 8th consecutive monthly gain; HFRI tops Nasdaq, European equities for June
CHICAGO, (July 10, 2017) – Hedge funds gained in June as the US Federal Reserve raised interest rates and oil prices extended sharp declines, while equity market volatility remained near historic lows, according to data released today by HFR®, the established global leader in the indexation, analysis and research of the global hedge fund industry. The HFRI Fund Weighted Composite Index® advanced +0.4 percent for the month, the eighth consecutive monthly gain and the 15th gain in the last 16 months, led by strong performance in Emerging Markets, Equity Hedge and Healthcare exposures. June performance topped the Nasdaq and European equities, and brings 1H17 performance to +3.7 percent, also extending the record Index Value for the HFRI to 13,425.
Equity Hedge (EH) led main hedge fund strategy performance for June and 1H17, led by exposures to Healthcare and Emerging Markets. The HFRI Equity Hedge (Total) Index advanced +1.2 percent for the month, topping the gain of the S&P 500 and bringing 1H17 performance to +6.2 percent, which exceeds the full-year returns of each of the three prior calendar years. The HFRI EH: Healthcare Index surged +4.9 percent in June, the strongest monthly advance since September 2016, and led all sub-strategy indices for 1H17 with a +10.7 percent return. The HFRI EH: Fundamental Growth and EH: Fundamental Value Indices each advanced +1.3 percent in June, with these gaining +9.4 and +6.0 percent, respectively, for 1H17. The HFRI Emerging Markets (Total) Index surged +2.0 percent in June and +10.5 percent for 1H17, driven by strong contributions from the HFRI EM: MENA Index which jumped +6.0 percent in June, as well as the HFRI EM: Asia ex-Japan Index, which advanced +3.3 percent for the month.
Led by Activist strategies, the HFRI Event-Driven (Total) Index advanced +0.7 in June, bringing its 1H17 return to +4.3 percent. The HFRI ED: Activist Index gained +1.3 percent in June and +4.2 percent for 1H17, with contributions from positions in Whole Foods, Nestle and General Motors. For 1H17, ED sub-strategy performance was led by the HFRI ED: Special Situations Index, which gained +1.1 percent in June and +5.4 percent in 1H17.
Fixed income-based Relative Value Arbitrage (RVA) strategies advanced for the 16th consecutive month as the US Federal Reserve raised interest rates, with the HFRI Relative Value (Total) Index advancing +0.3 percent for June and +2.9 percent for 1H17. RVA sub-strategy performance for June was led by the HFRI RV: Convertible Arbitrage Index, which gained +0.9 percent for the month and +3.5 percent for 1H17. The HFRI RV: Fixed Income-Asset Backed Index led RVA sub-strategies in 1H17 with a +4.6 percent return.
Macro strategies declined in June and 1H17 as implied volatilities remained near historic lows, though Currency strategies extended strong recent performance. The HFRI Macro (Total) Index fell -1.0 percent for the month and -0.8 percent for 1H17, with negative contributions from quantitative, trend-following CTA strategies. The HFRI Macro: Systematic Diversified Index declined -2.2 percent in June, bringing the 1H17 decline to -2.8 percent. Partially offsetting these losses, the HFRI Macro: Currency Index advanced +0.3 percent in June, bringing 1H17 performance to +6.8 percent, with contributions from the falling US Dollar, as well as digital currencies.
“Hedge funds posted another positive month in June as implied volatility across many assets and regions remained near historic lows, with the recent string of positive performance approaching a significant historical context. For the broad-based HFRI, June marked the eighth consecutive positive month for the first time since the period ending April 2011 and the first time the Index had 15 out of 16 consecutive monthly gains since the period ending April 2004,” stated Kenneth J. Heinz, President of HFR. “Managers have effectively adapted to the current low interest rate, low volatility environment, while remaining focused on catalysts for an inflection point in implied volatility, strategically and tactically positioned to navigate possible near term shifts.”
Comments reference Flash Update performance figures as posted on July 10, 2017.