Hedge Fund Data
Monthly hedge fund performance review – June 2023
20/07/2023
1 min read
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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 composite |  | Hedge 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-biased | | Long 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%. |
| Quant | | Quant 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/short | | Equity 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. |
| Macro | | Macro 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-strategy | | Multi-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 events | The 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. | |
| Equities | | Positive 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 bonds |  | 10y 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 bonds | | Corporate 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. |
| Currencies | The 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. | |
| Commodities | | The 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/
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