Short selling most lucrative investment strategy for hedge funds in June

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 Securities 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.