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Flash Report – June 2023

A few days into July, we can present our first estimate of hedge fund performance for June 2023. June looks like a strong month for most strategies. The start of the summer offered glowing hot equity markets, interesting developments in Cryptos (ETFs galore), and a continued guessing game if the inflationary pressures are transitory for longer or not.

In June “risk-on” strategies did generally well, and based on a small sample of approximately 500 funds, we can see that Risk Premia, followed by Equity Long Short and Risk Parity funds are occupying the top three slots. Follow the links below to see how the indices have done year-to-date.

June-2023 Estimated Index Performance – NilssonHedge indices

June had strong returns for equities (Major US Indices ~+6.5%) as retail investors continued to shift assets into risk strategies. This was reflected in the strong performance of the Risk Parity and Equity Long/Short strategy. Crypto strategies, usually a beneficiary of strong equity markets, did not follow the market closely. Crypto managers are still outperforming on a year-to-date basis. For the more traditional indices, Risk Parity is making a strong comeback as betas are making a comeback.

CTAs had a small gain, driven by a long-ish exposure to equities, and short duration. Views that generally worked in June. Trend-based Commodity positions likely detracted. While our observations are based on daily indices, these may deviate from the complete monthly index.

Correlation for CTA

Of note is that within the Equity Long/Short community, we see beta exposure to the equity markets. From the low reading a year ago, these values have now gradually increased towards the more steady-state value of about 0.5. This is an observation that we do not observe for Market Neutral or Event Driven strategies.

As usual, our databases are updated with the latest estimates. If you are a Canadian or US-based investor, looking for an intuitive portfolio management construction tool, we would like to highlight the launch of one of our data partners’ applications. SigmaSandbox is offering a 60-day free trial.

We also fixed a minor WordPress issue that occasionally gave the impression that this update was a paid update. Fixing Twitter is beyond our competence though.

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