11 Jul 2011
Equity markets declined in June as investors continued to exhibit concerns with regards to increasing risk of default in European sovereign debt obligations. Commodities declined across the board on continued economic weakness, while US treasury yields rose, after declining sharply intra-month. The US dollar was little changed against major currencies, while also experiencing significant intra-month volatility. The HFRI Fund Weighted Composite Index posted a decline of -1.22% for June, the largest decline since May 2010 and with negative contributions across all strategy areas. For 1H11, the HFRI Fund Weighted Composite gained +0.76, surrendering 1Q gains in 2Q with weakness concentrated in Macro strategies.
The HFRI Relative Value (Total) Index posted a modest decline of -0.12% for June, paring the YTD gains to +3.17%, with positive contributions from yield alternative and volatility exposure, only partially offset by losses in multi-strategy credit funds and convertible arbitrage strategies. Fixed income strategies were impacted by rising yields and the widening of credit spreads. The HFRI RVA: Multi-Strategy Index posted a decline of -0.57%, while HFRI RVA: Convertible Arbitrage Index declined -1.01% for the month.
The HFRI Event Driven (Total) Index declined -1.09% for June, paring the YTD gains to +2.87%, with negative contributions across most ED sub-strategies. Weakness in equity and credit markets undermined performance in ED, with the largest declines across special situations and activist funds. Despite continued robust activity in M&A and technology IPOs, widening deal spreads had a negative impact on M&A exposure, with the HFRI Merger Arbitrage Index declining -0.25% for June while the HFRI Distressed/Restructuring Index declined by -0.79%.
The HFRI Macro (Total) Index posted a decline of -1.76% for the month, with negative contributions across all Macro and CTA strategies; Macro strategies have declined -2.15% for 1H11, the only main strategy area with negative performance YTD. Systematic trend following strategies were impacted by sharp reversals in the equity, commodity and currency markets with the HFRI Macro: Systematic Diversified Index posting a decline of -2.36% for June. Long metals and soft commodity exposures also declined, while currency positioning experienced significant volatility during the month, generating losses across both macro discretionary and currency strategies.
The HFRI Equity Hedge (Total) Index declined by -1.20% for the month, with losses across energy and fundamental growth sub-strategies; Equity Hedge strategies have gained +1.08% in 1H11. Fundamental Growth and Fundamental Value strategies declined by -1.63% and -1.21%, respectively, with negative contributions across all market capitalizations and geographic exposures, only partially offset by short-bias exposure. The HFRI Equity Market Neutral Index posted a modest decline of -0.13% paring the YTD performance to +1.28%.
The HFRI Fund of Hedge Funds Index posted a decline of -1.50%, while the HFRI Emerging Markets Index declined by -1.12% for the month, with the negative contributions across all Emerging Markets, but concentrated in funds focusing on the Middle East, Emerging Asia and Russia.
The HFRI Relative Value (Total) Index posted a modest decline of -0.12% for June, paring the YTD gains to +3.17%, with positive contributions from yield alternative and volatility exposure, only partially offset by losses in multi-strategy credit funds and convertible arbitrage strategies. Fixed income strategies were impacted by rising yields and the widening of credit spreads. The HFRI RVA: Multi-Strategy Index posted a decline of -0.57%, while HFRI RVA: Convertible Arbitrage Index declined -1.01% for the month.
The HFRI Event Driven (Total) Index declined -1.09% for June, paring the YTD gains to +2.87%, with negative contributions across most ED sub-strategies. Weakness in equity and credit markets undermined performance in ED, with the largest declines across special situations and activist funds. Despite continued robust activity in M&A and technology IPOs, widening deal spreads had a negative impact on M&A exposure, with the HFRI Merger Arbitrage Index declining -0.25% for June while the HFRI Distressed/Restructuring Index declined by -0.79%.
The HFRI Macro (Total) Index posted a decline of -1.76% for the month, with negative contributions across all Macro and CTA strategies; Macro strategies have declined -2.15% for 1H11, the only main strategy area with negative performance YTD. Systematic trend following strategies were impacted by sharp reversals in the equity, commodity and currency markets with the HFRI Macro: Systematic Diversified Index posting a decline of -2.36% for June. Long metals and soft commodity exposures also declined, while currency positioning experienced significant volatility during the month, generating losses across both macro discretionary and currency strategies.
The HFRI Equity Hedge (Total) Index declined by -1.20% for the month, with losses across energy and fundamental growth sub-strategies; Equity Hedge strategies have gained +1.08% in 1H11. Fundamental Growth and Fundamental Value strategies declined by -1.63% and -1.21%, respectively, with negative contributions across all market capitalizations and geographic exposures, only partially offset by short-bias exposure. The HFRI Equity Market Neutral Index posted a modest decline of -0.13% paring the YTD performance to +1.28%.
The HFRI Fund of Hedge Funds Index posted a decline of -1.50%, while the HFRI Emerging Markets Index declined by -1.12% for the month, with the negative contributions across all Emerging Markets, but concentrated in funds focusing on the Middle East, Emerging Asia and Russia.
