Man Group reports mixed fortunes for hedge funds in June

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Hedge funds had a mixed month in June, according to the latest Man FRM Early View. The largest contribution to performance came from a pick-up in FX volatility, which led to significant losses for several CTA managers, although some of these losses were recovered by month end.

Man Group says that other strategies benefited from what was a general ‘risk-on’ sentiment throughout the month, albeit with periods of turbulence in the middle of June.
 
Equity long-short managers benefitted from the strong month for global equity markets broadly, while credit managers also benefitted from the good month for risk assets, and credit markets were less affected by the intra-month Fed driven volatility. 

In event arbitrage, deal activity levels continue to be good across all regions, with USD335 billion of deals announced in June. Quantitative equity managers also saw a mixed month despite most major equity markets being positive on the month. Man Group says the main driver of losses was volatility in equity market factors around the Fed announcement, which saw investors sell reflationary cyclical assets and buy secular growth against tightening breakevens and a bull flattening treasury curve. 
 
Trend-following managers meanwhile, produced negative performance in June, following a strong run in recent months. Most of the losses were again centred around the mid-month Fed meeting, where the hawkish shift triggered reversals in key markets for CTAs.