Tuesday, July 5, 2016
Many hedge fund strategies were able to weather the market upheavals in June. The biggest index winners were systematic CTA's followed by market directional strategies. Nonetheless, equity hedge fund strategies indices like market neutral, fundamental growth and fundamental value all continued to underperform. This has not been a stock-pickers environment.
Equity and bond markets faced significant increases in uncertainty around the globe but were still able to generate positive returns. However, the equity returns out side the US suffered declines of over 2.75 for the MSCI world index (EFA). There only hedge fund index that was able beat SPY and the Barclays AGG was the distressed strategy. The next best year date winner s were CTA's and event driven strategies followed by merger arbitrage, special situations, and market directional strategies.
This has not bee a good year for hedge funds with big moves coming from macro events. With BREXIT still unresolved after the June vote, a US presidential election, and more monetary policy uncertainty, finding alpha may continue to be difficult in the second half of the year.