Hedge fund performance drops 6% in first half of 2022 due to market volatility

Hedge funds posted a negative performance in June, taking losses this year to almost 6%, as market volatility accelerated, a report by hedge fund data provider HFR showed on Friday.

The fund-weighted composite index fell 3.08% last month. All four major hedge fund categories tracked by HFR — equity, event, macro and relative value — posted losses in June.

“Powerful risk-off trends accelerated in June, driving extreme financial market volatility as hedge funds traded across a wide range of risks, including not just generational inflation, rising interest rates , the continuation of the Russian-Ukrainian war and record increases in energy prices, but also the increased likelihood of a consumer-led economic recession in the United States,” said Kenneth Heinz, president of HFR.

Equity hedge funds, primarily those invested in growth stocks, whose valuations are more dependent on future cash flows, have been hardest hit by market volatility. They were down 12.3% in the first half of the year, but outperformed the S&P 500, which fell around 20%.

Macro hedge funds, however, were still in positive territory for the first half of the year, up 8.98%, although they fell 0.42% last month. Macro managers trade a wide range of assets, such as bonds, currencies, rates, stocks, and commodities.

Despite a bumpy road last month, some macro managers were able to post double-digit gains for the year. Rokos Capital Management’s macro fund was down 4% in June, but its performance this year is still a positive 12%, two sources said.

AQR Capital Management told investors its global macro strategy fund was up about 23.1% through June as it benefited from an environment of soaring inflation and tighter monetary policy. indicated sources.

Bridgewater Associates rose 32.2% in the first half of the year, although it suffered losses in trading inflation-linked bonds and emerging market currencies.

HFR said hedge fund performance has diverged widely this year. Funds in the top decile of the HFRI Fund-Weighted Composite Index gained 34.6% on average, while the bottom decile fell 32.2%.

Gains, however, were limited to 37% of funds, HFR added.

Updated: July 09, 2022, 1:50 p.m.

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