07/05/2022 Performance Notes

In June, global financial markets posted steep declines marking the worst 1st half of a year in the last 50 years as inflation accelerated and the US Federal Reserve increased interest rates to curb said inflation. Equity markets posted steep, broad-based declines across all sectors led by Cyclicals, Technology, and Energy; regional equity market losses were led by Korea, Italy, and Germany. The Federal Reserve raised interest rates 75 basis points and indicated the likelihood of additional increases in the coming month to curb inflation. The US Dollar gained against most currencies including the Euro, British Pound, and Japanese Yen. Commodities fell in June led by the steep decline in Natural Gas. Oil, Copper, Cotton, and Wheat also posted sharp declines.
Hedge funds posted mixed performance in June as gains in Macro strategies were offset by declines in higher beta and interest rate sensitive strategies with the HFRX Global Hedge Fund Index declining -1.80%.
HFRX Macro/CTA Index gained +1.37% for the month from gains in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index posted a gain of +3.45% as the US Dollar gained against most currencies with significant gains against the Chilean Peso, Brazilian Real, and Japanese Yen. Agricultural, Energy, and Metal commodities declined for the month led by Cotton, Natural Gas, and Copper.
HFRX Equity Hedge Index declined -2.01% for June from declines in Market Neutral strategies as well as Fundamental Growth & Value strategies. The HFRX Fundamental Value Index declined -1.02% from exposure to large-cap US & European equities. The HFRX Equity Market Neutral Index posted a decline of -3.21% from declines in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Growth Index fell -3.70% from declines in exposure to small-cap US, European, and Emerging Markets equities.
HFRX Event Driven Index posted a decline of -2.10% for the month from declines in Merger Arbitrage and Special Situations equity strategies. The HFRX Merger Arbitrage Index declined -1.42% in June as global equities saw steep losses across geographies and sectors. The HFRX Special Situations Index declined -2.14% from exposure to global catalyst-driven, fundamental value equities.
HFRX Relative Value Arbitrage Index declined -3.26% for June from declines in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX RV: Multi-Strategy Index declined -3.19% as interest rates rose in June. The HFRX Convertible Arbitrage Index posted a decline of -4.04% for the month as volatility increased during the period and yields rose.
Comments reference performance figures as of June 30, 2022