July 10, 2013 \u2013 New York, NY \u2013 Hennessee Group LLC announced today that the Hennessee Hedge Fund Index\u00a0declined -1.30% in\u00a0June (+4.76% YTD),\u00a0whilethe S&P 500\u00a0declined -1.50% (+12.63% YTD), the Dow Jones\u00a0Industrial\u00a0Average\u00a0decreased -1.36% (+13.78% YTD), and the NASDAQ Composite Index\u00a0fell -1.52% (+12.71% YTD).\u00a0 Bonds were also negative, as the Barclays Aggregate Bond Index declined -1.55% (-2.45% YTD).
\n
\n\u201cHedge funds posted their first monthly loss of the year in June,\u201d <\/b>commented <\/b>Charles Gradante, Co-Founder of Hennessee Group. \u201cWhile June saw the return of a \u2018risk-on, risk-off\u2019 trading environment, many managers maintained portfolio exposures, viewing the correction as technical in nature and not reflective of a change in underlying fundamentals.\u201d<\/p>\n
\u201cIn June, investors adopted a \u2018risk-off\u2019 sentiment amid concerns about the \u2018tapering\u2019 of stimulus by the U.S. Federal Reserve, resulting in increased volatility,\u201d<\/b> said Lee Hennessee, Managing Principal of Hennessee Group. \u201cMost hedge funds strategies posted losses, but interest rate-sensitive and emerging market funds were most negatively affected.\u201d<\/p>\n
Equity long\/short hedge funds were negative in June, as the Hennessee Long\/Short Equity Index declined \u20130.75% (+7.98% YTD). <\/b>\u00a0The best performing sectors were telecommunication services (+1.86%), consumer discretionary (+0.75%), and utilities (+0.60%).\u00a0 The worst performing sectors were materials (-4.50%, information technology (-3.70%) and energy (-2.09%).\u00a0\u00a0 Short portfolios provided some benefit as the equity markets sold off.\u00a0 Despite the increased volatility, most managers maintained exposure levels, expecting the correction to be short lived.<\/p>\n
\u201cDespite Wall Street’s biggest concern regarding the eventual phasing out of QE program, the steepening of the yield curve in June reminded the Hennessee Group of rising bond yields in 1995, which resulted in money flows out of bonds and into stocks.\u00a0 This ignited one of the greatest stock market rallies from 1995 to 1999,\u201d<\/b> stated <\/b>Charles Gradante.<\/p>\n
The Hennessee Arbitrage\/Event Driven Index declined \u20131.13% in June (+4.15% YTD). <\/b>\u00a0The Barclays Aggregate Bond Index declined -1.55% (-2.45% YTD) as interest rates increased. High yield also declined as the Merrill Lynch High Yield Master II Index declined -2.64% (+1.50% YTD).\u00a0 High yield spreads widened 59 basis points to 521 basis points over treasuries.\u00a0 The Hennessee Distressed Index decreased \u20131.58% in June (+6.95% YTD)<\/b>.\u00a0 Distressed portfolios were negatively affected by both a significant widening of credit spreads and equity market losses.\u00a0 The Hennessee Merger Arbitrage Index declined \u20130.31% in June (+3.74% YTD).\u00a0 <\/b>Managers posted losses as deal spreads widened amid greater volatility.\u00a0 The Hennessee Convertible Arbitrage Index returned \u20131.17% in June (+2.26% YTD).\u00a0 <\/b>Convertible arbitrage managers experienced losses amid higher interest rates and wider credit spreads.<\/p>\n
\u201cThe Hennessee Group notes that an analysis of the technicals indicate the emerging markets are oversold and the S&P 500 is overbought, concluding that we are likely to see the beginning of a reversal in the long S&P 500 and short emerging markets trade.\u201d <\/b>commented <\/b>Charles Gradante. \u201cGlobal and macro managers are likely to go long emerging markets and short the S&P 500.\u201d<\/p>\n
The Hennessee Global\/Macro Index declined \u20131.93% in June (+1.45% YTD)<\/b>.\u00a0 The MSCI EAFE Index fell -3.72% (+2.18% YTD).\u00a0 The Hennessee International Index declined \u20132.01% (+3.03%).\u00a0 Emerging markets were also down, as the MSCI Emerging Market Index decline -6.79% (-10.89% YTD).\u00a0 Emerging Markets posted losses across equity, sovereign bond and currency markets.\u00a0 The Hennessee Emerging Market Index fell -1.95% (+2.73% YTD).<\/p>\n
The Hennessee Macro Index increased +0.17% for the month of June (-1.40% YTD).<\/b>\u00a0\u00a0 Managers experienced losses in fixed income as bond yields increased significantly in June as the 10 Year Treasury yield increased 57 basis points to 2.73%.\u00a0 Commodities also declined in the \u201crisk off\u201d environment.\u00a0 A stronger dollar and uncertainty about Chinese demand added to the negative pressure.\u00a0 Precious metals were the worst-performing sector, down -12.3% MTD and -29.6% YTD.\u00a0 Natural gas lost -11.2% for the month and -1% for the year, giving back all the gains it had accrued for the year.\u00a0 The U.S. Dollar Index increased +0.70% in June, benefiting macro managers, with significant gains against emerging market currencies.<\/p>\n","protected":false},"excerpt":{"rendered":"
July 10, 2013 \u2013 New York, NY \u2013 Hennessee Group LLC announced today that the Hennessee Hedge Fund Index\u00a0declined -1.30% in\u00a0June (+4.76% YTD),\u00a0whilethe S&P 500\u00a0declined -1.50% (+12.63% YTD), the Dow Jones\u00a0Industrial\u00a0Average\u00a0decreased -1.36% (+13.78% YTD), and the NASDAQ Composite Index\u00a0fell -1.52% […]<\/p>\n","protected":false},"author":3,"featured_media":0,"comment_status":"open","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[13],"tags":[],"class_list":["post-36647","post","type-post","status-publish","format-standard","hentry","category-press-releases"],"_links":{"self":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts\/36647","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/users\/3"}],"replies":[{"embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/comments?post=36647"}],"version-history":[{"count":2,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts\/36647\/revisions"}],"predecessor-version":[{"id":36649,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/posts\/36647\/revisions\/36649"}],"wp:attachment":[{"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/media?parent=36647"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/categories?post=36647"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/hedgeco.net\/news\/wp-json\/wp\/v2\/tags?post=36647"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}