Hedge fund and hedge fund-of-funds returns were positive in the quarter ended June 30, with the HFRI Fund Weighted Composite index up 2.25% and the HFRI Fund of Funds Composite index ahead 0.75%.
The second-quarter returns of each index were significantly better than in the first quarter, when the hedge fund composite index was down 0.61% and the fund-of-funds index dropped 3.13%, data released Friday by Hedge Fund Research showed. HFR created and maintains the indexes.
The HFRI Fund Weighted Composite index was up 1.63% for the six months ended June 30, compared to the HFRI Fund of Funds Composite index, which was down 2.4%.
By strategy, the HFRI Relative Value (total) index returned 2.8%, followed by the HFRI Event-Driven (total) index at 2.65%; the HFRI Macro (total) index, 1.95%; and the HFRI Equity Hedge (total) index, 1.58%.
Year-to-date June 30, the HFRI Macro (total) index returned 3.53%; the HFRI Relative Value (total) index, 2.32%; the HFRI Event-Driven (total) index, 1.92%; and the HFRI Equity Hedge index, -0.16%.
“Hedge funds were positioned conservatively and defensively for an uncertain outcome of the Brexit vote, anticipating volatility and the potential for market dislocations … despite pre-vote gains in U.K. equities and sterling,” said Kenneth J. Heinz, HFR’s president, in a news release accompanying the quarterly data analysis.
“In addition to the powerful realized performance impacts of these dislocations, the hedge fund industry continues to carefully position for additional, second-order impacts of Brexit” in the second half of the year, Mr. Heinz added.