Hedge fund data firm HFR reports that hedge funds posted gains for June as the HFRX Market Directional Index gained +2.16 per cent, the HFRX Equal Weighted Strategies posted a gain of +0.31 per cent and the HFRX Global Hedge Fund Index gained +0.20 per cent for the month.
HFRX Event Driven Index posted a gain of +1.37 per cent for June, its fifth consecutive month of positive performance this year, gaining +3.25 per cent YTD. The HFRX Distressed Index posted a gain +1.82 per cent for month and +7.39 per cent YTD, with contributions from exposure to the Basic Materials and Energy sectors. The HFRX Special Situations Index gained +1.28 per cent from core positioning in LinkedIn, SABMiller, Yahoo and Level 3 Communications. The HFRX Merger Arbitrage Index gained +0.04 per cent with core exposures to Salesforce/Demandware, Comcast/DreamWorks and Pinnacle Financial/Avenue Financial transactions.
HFRX Macro/CTA Index posted a gain of +1.00 per cent for June, with strong gains in systematic and Emerging Markets managers only partially offset by Discretionary Fixed Income strategies. The HFRX Systematic Diversified CTA Index gained +4.06 per cent for the period, its largest monthly performance since July 2015, as Metals, Natural Gas, Coffee and Sugar surged, the US Dollar strengthened against the British Pound Sterling and the Euro as the British Pound fell to a 30 year low. The HFRX Emerging Markets Index posted a gain of +1.71 per cent from exposure to Emerging Asia, Latin America and Eastern European regions.
HFRX Relative Value Arbitrage Index posted a gain of +0.27 per cent for June, with contribution from Convertible, Credit strategies and Yield Alternative managers. The HFRX Convertible Arbitrage Index posted a gain of +0.47 per cent as volatility increased and yields experienced strong declines from investors' flight to quality. The HFRX MLP Index gained +4.59 per cent for the month and +12.80 per cent YTD, as Energy Infrastructure strategies as Natural Gas surged for the month. The HFRX Multi-Strategy Index gained +0.14 per cent from Global Credit strategies.
HFRX Equity Hedge Index posted a decline of -1.47 per cent for June as equity markets experienced strong intra-month declines on the Brexit vote outcome; US markets ended the month with mixed performance, most European markets fell while Latin America posted gains. The HFRX Fundamental Growth Index gained +0.38 per cent for the period from exposure to Emerging Asia and Latin America, while the HFRX Market Neutral Index and the HFRX Fundamental Value Index declined -1.00 per cent and -2.29 per cent , respectively.
