After three consecutive positive monthly results the UCITS HFS Index has seen a draw-down again, reporting losses of 0.41 per cent in June 2016.
The broad index started slowly into the month, posting marginal gains and losses of 0.02 per cent and -0.05 per cent in week one and two respectively.
The biggest hit for the UCITS HFS Index came not in the week of the Brexit referendum itself, but in the week before (week three) with losses of 0.49 per cent. In the fourth week of trading small losses of 0.08 per cent proved that the majority of UCITS hedge funds anticipated potential risks of the Brexit referendum correctly, with the last days of trading in June even adding 0.19 per cent performance in week five. Of all funds tracked 37.20 per cent reported gains in June 2016.
From a sub-strategy perspective five of the twelve strategies reported positive results in June, the top performers being CTA (1.75 per cent), Commodity (1.73 per cent) and Fixed Income (0.56 per cent). All three strategies benefited from the market turmoil after the Brexit referendum, but CTA and Commodity also posted high returns in the first half of month compared all other UCITS hedge funds.
The worst performing strategies in June were Global Macro (-2.33 per cent), L/S Equity (-1.27 per cent) and Market Neutral (-0.64 per cent). While the latter took more losses in the market turmoil after the British referendum to leave the EU, the other two took their biggest weekly loss in the week before the referendum and only were slightly negative thereafter. Still seven strategies remain negative for 2016, the worst performer now being Global Macro (-3.73 per cent) before L/S Equity (-3.14 per cent). The best performer by far this year remains Commodity (5.19 per cent).
From a year to date perspective the broad UCITS HFS Index now stands at -0.79 per cent in 2016.
