06/30/2023 Performance Notes

Led by US technology, AI exposure, and receding bank risk, global financial markets gained in June. Investor optimism regarding peaking inflation and the moderation of interest rate increases also contributed. Technology, Semiconductors, and small cap stocks led sector gains. Italy, Spain, and France led European markets, while India and Japan led Asian gains. Short-duration interest rates increased on slowing generational inflation and moderating expectations for interest rate increases in 2H23; longer-dated interest rates showed little change as the yield curve flattened. The US Dollar gained against the Japanese Yen but declined against the Euro, Pound Sterling, and Swiss Franc. Natural Gas surged to lead commodity gains; Oil, Soybeans, and Lean Hogs also gained, while Platinum, Coffee, and Aluminum declined.
Hedge Funds gained led by Equity Hedge Strategies, with the HFRX Global Hedge Fund Index gaining +0.76% in June.
HFRX Equity Hedge Index gained +1.27% for the month from gains in Fundamental Growth, Value, and Market Neutral strategies. The HFRX Fundamental Growth Index gained +1.66% from gains realized in small-cap US and European equities. The HFRX Market Neutral Index gained +1.16% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Value Index gained +1.06% from gains concentrated in large-cap US and European equities. 
HFRX Relative Value Index posted a gain of +0.74% for June from gains seen in both Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +1.98% for the month as volatility declined in June. The HFRX RV: Multi-Strategy Index gained +0.63% as short-duration interest rates increased, and longer-dated interest rates showed minimal change in June.
HFRX Macro/CTA Index gained +0.55% for the month led by gains in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +2.41% in June as the US Dollar gained against the Japanese Yen, but declined against the Euro, Pound, and Swiss Franc. Commodities saw strong gains for the month led by Natural Gas, Soybeans, Cocoa, and Lean Hogs. Platinum, Coffee, Sugar, and Aluminum led commodity declines.
HFRX Event Driven Index posted a gain of +0.38% for June from gains in Merger Arbitrage and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +1.29% as global equities saw gains across geographies and sectors and activity in global M&A deals continued through the month. The HFRX Special Situations Index gained +0.32% from exposures to global catalyst-driven, fundamental value equities.  
Comments reference performance figures as of June 30, 2023