Eurekahedge Hedge Fund Index suffers worst first half year performance since inception

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The With Intelligence Hedge Fund Performance Report for June reports that hedge funds declined for a third consecutive month in June with a return of -2.7 per cent, recording their worst monthly performance since the onset of the pandemic in March 2020.

Following the retreat, the Eurekahedge Hedge Fund Index has slipped to -5.6 per cent YTD, marking its worst H1 performance since inception.


Global equities, as represented by the S&P 500, fell by a staggering 8.4 per cent as investors moved to price in an increased risk of recession as the Federal Reserve embarked on an aggressive series of interest rate hikes to fight soaring inflation.


Hedge funds posted losses across all strategies in June, with event-driven funds (-4.0 per cent) faring the worst due to difficult markets ahead of the Fed’s rate decision, with widening spreads in merger arbitrage and deal flow in June being lower. But sentiment improved towards month-end, particularly in leveraged buyouts.


Only CTA/managed futures have positive gains in 2022, supported by the positive trends in commodities and the dollar and negative trends in bond prices Performance was negative across all regions in June, with North American focused funds posting the sharpest losses (-3.5 per cent).


North America had the highest median 3-year annualised return of 6.5 per cent, while Europe fared the worst with a median 3-year annualised return of 3.9 per cent.


European funds posted the smallest top/bottom decile dispersion of 16.4 per cent, compared to almost 20 per cent for the rest of the regions.


Trend-following is the best performing sub-strategy in 2022, posting gains of 16.4 per cent. Trendfollowing funds have traditionally demonstrated low correlation to equities and fixed income and have the potential to perform well in both bear and bull markets.

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