Short selling most lucrative investment strategy for hedge funds in June
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Short selling most lucrative investment strategy for hedge funds in June 11 August 2021France Reporter: Alex Pugh
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Short selling was the most profitable hedge fund strategy in the month of June, according to EDHEC-Risk Institute.
Hedge fund strategies delivered lower returns than their average over the last 12 months, with short selling being the best performing strategy in the EDHEC-Risk hedge fund universe at 3.41 per cent, far ahead of Distressed Íø±¬³Ô¹Ï at 1.03 per cent and Emerging Markets at 0.96 per cent.
In this environment, most hedge fund strategies delivered positive returns, with three exceptions — CTA Global (-0.56 per cent), Fixed-Income Arbitrage (-0.31 per cent) and Global Macro (-1.16 per cent), the lowest performing strategy.
The equity-oriented strategies in the EDHEC-Risk hedge fund universe delivered modest growth — 0.18 per cent month-on-month for long/short equity, 0.25 per cent for event-driven strategies and 0.27 per cent for market-neutral strategies.
Overall, the Funds of Funds strategy posted a positive but weak return of 0.35 per cent, well below the performance of the S&P 500.
The S&P 500 delivered a positive return of 2.3 per cent in June, registering its fifth consecutive month of profits and a cumulative 15 per cent increase since the beginning of the year.
Market implied volatility decreased, for the fourth consecutive month, to 16 per cent, returning to pre-pandemic levels of 2019. The dollar also rose quite strongly in June — by 2.59 per cent — after two months of decrease.
The institute, in partnership with industry leaders, comprises a team of permanent professors, engineers and support staff, as well as affiliate professors and research associates.
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