Hedge Fund Data

Monthly hedge fund performance review – June 2023

20/07/2023
1 min read

Download full report

Download Article Download Article

Hedge fund performance was generally positive in June; the average hedge fund net return across all strategies was 1.40%. Equity markets rallied in June, benefiting from the pause in the Fed’s rate hikes and the resolution of US debt ceiling negotiations. The strongest-performing strategy during the month was long biased and the weakest-performing strategy was arbitrage. Hedge fund performance dispersion was similar to that observed in May.

HEDGE FUNDS
Hedge fund compositeHedge fund performance was generally positive in June; the average hedge fund net return across all strategies was 1.40%. The strongest performing strategy during the month was long biased; the only strategy with negative returns was arbitrage. Hedge fund performance dispersion was similar to that observed in May.
Long-biasedLong biased funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 2.55% in June, the strongest-performing strategy during the month. Sub-strategy returns were all positive. The best-performing sub-strategy for a second month was long biased – equity, up 4.50%.
QuantQuant funds monitored by Aurum’s Hedge Fund Data Engine returned 1.22% on average in June. Sub-strategy returns were all positive. Risk premia was the best-performing sub-strategy, up 2.95%. CTAs were up 1.37%, continuing to recover from March—one of the worst months on record since Aurum’s hedge fund data engine started monitoring performance.
Equity long/shortEquity long/short funds returned an average of 1.67% in June, benefiting from the rally in equity markets. All sub-strategies had positive performance, the strongest of which were US and other long/short.
MacroMacro funds monitored by Aurum’s Hedge Fund Data Engine generated an average net return of 1.28% in June. Sub-strategy returns were positive, with the exception of macro – commodities, which was down 0.96%. The best performing sub-strategy was macro emerging markets, up 3.45%.
Multi-strategyMulti-strategy funds monitored by Aurum’s Hedge Fund Data Engine returned an average of 0.71% in June. Smaller funds, with an AUM of up to $0.5bn were the best performers, up 1.22%. Larger funds with an AUM of $2bn – $5bn were the weakest performers, down 0.06%.

MARKETS
Major eventsThe combination of a pause in the Fed’s rate hike schedule, strong economic data in the US and a resolution of debt ceiling negotiations all contributed to strong positive sentiment that supported risk assets in June. Headline inflation rates continued to fall in the US and Europe. The Russian mercenary organisation, Wagner Group, staged a short-lived rebellion against the Russian state, before backing down.
EquitiesPositive economic data releases in the US and the Fed’s decision to pause interest rate hikes contributed to risk-on sentiment in equity markets. All major equity indices ended the month with positive performance. Japanese equities performed particularly strongly, supported by recent corporate governance changes.
Government bonds10y government bond yields generally increased in June, in line with broader risk-on sentiment in markets, however Japanese, Greek, and Italian bonds were exceptions. Despite some positive economic data releases, the US 2y/10y yield curve inverted further, indicating market fears of an impending recession.
Corporate bondsCorporate bond indices across the quality spectrum ended June with broadly positive performance. All major credit indices have positive performance year-to-date. Lower quality corporate credit outperformed.
CurrenciesThe US dollar weakened in June, as the Fed paused hiking rates. The Bank of England’s 50bp interest rate increase, and the ECB’s 25bp rise supported sterling and the euro, respectively. The Japanese yen continued to weaken as the BoJ maintained its monetary easing policy.
CommoditiesThe improving US economic outlook proved challenging for “safe haven” commodities, like gold and silver. Energy prices, most notably natural gas, increased on increased demand due to extreme weather in Europe, and supply concerns. Wheat made gains as the risk of Russia pulling out of the Black Sea grain deal was priced in. Droughts in the US Midwest resulted in corn price volatility.

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/

You may also like

Hedge fund industry performance deep dive – Full year 2023

05/02/2024

In summary… A resurgence in risk assets provided a significant tailwind to more long-biased and/or historically higher beta strategies, which were among…

Monthly hedge fund industry performance review – December 2023

23/01/2024

Hedge fund performance was generally positive in December; the average asset weighted hedge fund net return across all strategies was 1.64%. All hedge…

Spotlight on funds of hedge funds: why investors use them

08/01/2024

In summary In the latest instalment of our hedge funds basics series, we look at: What are funds of hedge funds? Why do some investors choose to access…

Monthly hedge fund industry performance review – November 2023

19/12/2023

Hedge fund performance was generally positive in November; the average asset weighted hedge fund net return across all strategies was 1.73%. Most hedge…

Macro hedge fund primer: uncovering the unconstrained

27/11/2023

Global macro   |   Fixed income relative value   |   Macro emerging markets   |   CommoditiesIn summary Macro funds typically take positions…

Monthly hedge fund industry performance review – October 2023

22/11/2023

Hedge fund performance was moderately negative in October; the average asset weighted hedge fund net return across all strategies was -0.34%. Most hedge…

Hedge fund industry performance deep dive – Q3 2023

31/10/2023

In summary… Five-year CAR for hedge funds was at 4.9% at the end of Q3, above bonds at -1.7% and just above equities at 4.1%. Global equities*** and…

Monthly hedge fund performance review – September 2023

23/10/2023

Hedge fund industry performance was moderately positive in September; the average hedge fund return across all strategies was 0.08% (asset weighted net…

Monthly hedge fund performance review – August 2023

22/09/2023

Hedge fund performance was moderately positive in August; the average hedge fund net return across all strategies was 0.16%. Most hedge fund strategy groups…

Monthly hedge fund performance review – July 2023

22/08/2023

Hedge fund performance was generally positive in July; the average hedge fund net return across all strategies was 1.05%. All hedge fund strategy groups…

Hedge fund industry performance deep dive – H1 2023

31/07/2023

In summary… The hedge fund industry* was up 3.4% in H1 23 with performance being heavily weighted to the start of Q1 and the end of Q2. The best performing…

Quant hedge fund primer: demystifying quantitative strategies

22/06/2023

QEMN   |   Statistical arbitrage   |   Managed futures/CTAs   |   Quant macro/GAA   |   Alternative risk premiaIn summary Quantitative…