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June 2022 Performance Preview

Based on early reporting, we can now get a good read for how hedge funds did in June 2022. The answer is not so good, but it could have been far worse.

The first half of 2022 was not kind to the average hedge funds (or most long only investments). CTAs and Commodities are the rare exception, that managed to generate healthy gains.

June was a rather messy month, with continued bad equity market, especially so into the FOMC meeting where a lot of derisking took place. Crypto markets, exhibiting strong correlation with equity and other risk-on markets suffered another large negative month.

As a consequence, this resulted in largely negative returns for active strategies throughout June 2022. There will be some variations around the mean, as the results will depend on how you were positioned before and after the FOMC meeting, after which several market and factor lost momentum.

Equity long/short strategies are likely to have had a miserable month (but not as bad as the equity market themselves). Based on early results, the strategy is down around 4%. While we do not have results for Tiger Global or the cubs in our database, ELS have probably done better than what one would suspect from a number of large profile implosions.

Market neutral strategies, a group of strategies that have kept up well until this month, had a comparatively large negative month and ended June down 2%. Event-Driven strategies faired slightly better, and ended June with a modest loss of about 1%.

CTAs losing momentum?

For trend followers, we predict that we will see a fair amount of dispersion where results will depend on commodity and currency allocations. Energy markets (especially NatGas) reversed course in the latter half of the month. Currencies (ie the USD) continued to trend. Our daily index was down slightly in June (0.2%), but we have seen a fair amount of the larger manager have positive numbers.

For crypto strategies we have continued to observe a strong erosion of the number of active managers, at least for the ones that are willing to report numbers. On the flip side we have seen more and more market neutral crypto strategies starting to report to the database. Those strategies may have been too boring for the average crypto investor, but are now seen as a safe haven.

Fewer and fewer directional crypto strategies

As usual our database is updated, so feel free to dig into the data to find noteworthy results.

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