07/02/2024 Performance Notes

In June, global financial markets gained as geopolitical risk continued to rise with elections in Europe and the upcoming US election leading to possible changes in important policies. Global equities gained while trading in a wide range, though volatility declined over prior months, and earnings were generally in line with expectations; Technology led US gains while small caps declined. Interest rates declined as investors continued to position for 2H24 rate cuts in the US, while the ECB lowered rates; the US Dollar gained against most currencies. Oil led Energy commodity gains, and Copper led Metals declines. Wheat and Corn led Agricultural commodity declines.

Hedge funds gained for the month – led by Equity Hedge strategies – with the HFRX Market Directional Index gaining +1.00% and the HFRX Absolute Return Index gaining +0.79%. The HFRX Global Hedge Fund Index gained +0.31% in June.

HFRX Equity Hedge Index gained +1.21% for the month from gains in fundamental Growth & Value and Market Neutral strategies. The HFRX Fundamental Growth Index gained +1.79% from gains in exposure to small-cap US and European equities. The HFRX Equity Market Neutral Index posted a gain of +1.38% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Value Index gained +0.88% from gains concentrated in large-cap US and European equities.

HFRX Relative Value Arbitrage Index gained +0.29% for June from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +0.67% for the month as volatility was flat in June. The HFRX RV: Multi-Strategy Index gained +0.25% as interest rates declined.

HFRX Event Driven Index narrowly gained +0.03% for the month as gains in Special Situations managers were offset by declines in Merger Arbitrage strategies. The HFRX Special Situations Index gained +0.05% from gains in exposure to global catalyst-driven fundamental value equities. The HFRX Merger Arbitrage Index declined -0.17% as global equity markets gained in June.

HFRX Macro/CTA Index declined -0.74% from declines seen in systematic trend-following managers. The HFRX Macro Systematic/CTA Index declined -1.72% as the US Dollar gained against most currencies. Commodities had a mixed performance in June, with the Energy sector leading all commodity gains. Sugar led agricultural commodity gains, while Wheat led agricultural commodity declines. Metal commodities fell, with Aluminum and Copper declining the most in June. Oil led Energy commodity gains.

Comments reference performance figures as of June 28, 2024