Hedge Fund Data

Monthly hedge fund performance review – June 2022

15/07/2022
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Hedge fund performance was mixed in June, with wider dispersion than in May. Strategies with a higher beta to equities continued to underperform other strategies, continuing their year-to-date trend.

HEDGE FUNDS
Hedge fund compositeHedge fund strategies monitored by Aurum’s Hedge Fund Data Engine delivered generally negative returns in June, however this was not consistent across all strategies. The average hedge fund net return in June across all strategies was -1.27%. Performance dispersion was wider than in May.
Long biasedLong biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -7.10% in May, the worst month for the strategy since March 2020. All sub-strategies had negative returns. The worst performing sub-strategy was long biased commodities, down 16.04%.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned 1.63% on average in June, the strongest performing strategy both during June, and year to date, where it is up 10.94%. The best performing sub-strategy was quant macro/GAA with an average net return of 3.89%.
Equity long/shortEquity long/short funds monitored by Aurum’s Hedge Fund Data Engine returned an average of -1.66% in June, in a challenging month for global equities. Most sub-strategies were negative for the month. US-focused funds performed worse than those with a European or Asia Pacific focus.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of -1.07%. All sub-strategies had negative returns. Macro emerging markets, which returned -3.39%, was the worst performing sub-strategy, continuing the weak performance seen year to date.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 1.34% in June. Funds performed in line with their size, with the smallest funds being the worst performers, and the largest funds (>$5bn), the best performers.

MARKETS
Major eventsMarkets were volatile and largely negative in June. Inflation readings, and central bank responses to them, remained the key driver of market sentiment. Regions of China subject to COVID-19 lockdowns started to reopen. Digital assets continued to sell off significantly; the US and the EU introduced frameworks to regulate crypto assets.
EquitiesMost equity indices across developed and emerging markets incurred losses in June. Record inflation readings, and the anticipation of the US Fed’s hawkish response to them, adversely impacted market sentiment. Chinese equities were a notable exception to the gloomy picture globally, benefiting from COVID-19-related lockdowns lifting in China.
Government bondsUS and European government bond yields soared to new heights in June, continuing the recent run of negative performance in bond markets. Market expectations of a recession were illustrated by the US 2-year/10-year yield curve flattening and briefly inverting mid-month. The Bank of Japan reaffirmed its commitment to maintaining target yields around 0% which kept Japanese bond yields largely stable.
Corporate bondsCorporate bonds performance was negative across all qualities in June. Lower-quality credit was particularly badly impacted by the risk aversion that pervaded markets during the month. Investment grade credit fared less badly. Emerging market credit endured substantial losses and remains weakest year to date.
CurrenciesThe US dollar continued to strengthen in June, supported by the prospect of aggressive interest rate hikes from the Fed in response to record inflation readings. Most currencies fell against the US dollar, with the exception of the Russian ruble, which continued its recovery, as strict capital controls remain in place and Russian natural gas continues to be paid for in rubles.
CommoditiesCommodity performance was largely negative in June. Concerns about an impending recession prompted the sell-off in most commodities, notably industrial metals and agriculturals. Gold moved inversely to the strengthening US dollar. Natural gas futures were up almost 15% in the first week of the month, but ended the month down over 30%. They were impacted by an explosion at the US’s second largest natural gas export which has reduced storage capacity over the next few months.

The Hedge Fund Data Engine is a proprietary database maintained by Aurum Research Limited (“ARL”).  For information on index methodology, weighting and composition please refer to https://www.aurum.com/aurum-strategy-engine/. For definitions on how the Strategies and Sub-Strategies are defined please refer to https://www.aurum.com/hedge-fund-strategy-definitions/

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