Managed futures funds hit the jackpot in June, returning 3.9%, their best monthly average return since 2014, eVestment reported this week. Large funds with more than $1 billion under management performed even better, up 4.6%.
The managed futures strategy ended the first half up 4.5%.
Hedge funds overall gained 0.9% in June, ending the second quarter up 2.1%. Year to date, the industry average is up 1.9%, after having ended 2015 with a 0.5% loss.
In the aftermath of Britain’s vote to leave the European Union, systematic strategies, operating in both managed futures and equity-focused universes, outperformed the rest of the hedge fund industry by a wide margin in June, which saw significant and unexpected short-term volatility.
What Your Peers Are Reading
The report suggested that June’s robust returns by managed futures hedge funds may discomfit investors making allocation decisions, as they had likely been very concerned about negative performance in the three months prior to June. The largest funds were down nearly 6% during that period.
In the past, eVestment said, investment flows have shown direct correlation with strings of monthly positive or negative returns. Now, a stretch of elevated losses has been interrupted by very strong relative performance in a volatile environment, something investors hope for from managed futures.
This mix of influences makes future flows uncertain, it said.
Macro managers, which produced a 1.3% return in June, experienced a significant dispersion dealing with Brexit fallout, as only 59% of funds were positive in June, compared with 70% of managed futures managers.
Differences between systematic and discretionary approaches to global markets were notable, eVestment reported: 89% of quant-based macro funds and 86% of quant-based managed futures funds were positive in June, while only 56% of discretionary macro managers successfully navigated June’s events.
In the last three and a half years, the divide between monthly returns from systematic and discretionary strategies has only twice been wider than it was in June, in January and March of this year. The report saw this as a signal of increased market volatility this year, and how each strategy has reacted.
Commodity hedge funds, which continued to receive investor interest through May, were up 2.7% in June and up 4.9% for the second quarter. Year to date, they have returned 6.4%.
Hedge funds that target distressed assets rose to become the best performing primary strategy in the second quarter, up 4.6%, after returning 0.8% in June.