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Hedge fund strategies show moderate performance in June, says EDHEC-Risk

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The month of June was characterised by a positive trend on the stock markets, with the S&P 500 registering a rather strong performance (2.33 per cent), its fifth consecutive month of profits, leading to 15 per cent cumulative increase since the beginning of the year. 

Market implied volatility decreased, for the fourth consecutive month, to 15.83 per cent, returning to the levels observed in 2019, before the coronavirus crisis. This value is also much lower than its long-term average performance (around 21 per cent).

On the bond market, a mixed situation prevailed as regular bonds posted negative return (-0.30 per cent), while convertible bonds posted positive return (1.60 per cent), the reverse of the situation observed last month. Concerning commodities market, the GSCI Commodity Spot index registered a positive return (3.23 per cent) for the third consecutive month, reaching its highest level in over more than six years.

The dollar rose quite strongly (2.59 per cent), after two months of decrease.

In this environment, most of the strategies delivered positive returns. The three exceptions were CTA Global (-0.56 per cent), Fixed-Income Arbitrage (-0.31 per cent) and Global Macro (-1.16 per cent), which was the lowest performing strategy. These three strategies, as well as Short Selling, were also those which were not at their highest index level since EDHEC-Risk hedge fund indices’ inception (December 1996). This month, all strategies delivered lower returns than their average over the last twelve months.

The best performing strategy was Short Selling (3.41 per cent), far ahead of Distressed Securities (1.03 per cent) and Emerging Markets (0.96 per cent). The performance of the three equity-oriented strategies was quite low – Long/Short Equity (0.18 per cent), Event Driven (0.25 per cent) and Market Neutral (0.27 per cent) – compared to the S&P 500 performance.

Overall, the Funds of Funds strategy posted a positive, but weak return (0.35 per cent), far behind the S&P 500 performance. 

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