Stockholm (HedgeNordic) – Nordic hedge funds lost 3.1 percent on average in June (91 percent reported) to post their worst monthly performance since March 2020, rounding off their worst half-year performance since the second half of 2008. Despite the Nordic Hedge Index ending the first half of 2022 down 7.2 percent, 41 members of the Nordic hedge fund universe, or about 29 percent, delivered positive mid-year performance.
Four of the five strategy categories within the Nordic Hedge Index ended June in the red, with only CTAs finishing the month in positive territory. Nordic CTAs edged up 0.2 percent in June to end the first half of the year up 5.5 percent. Equity-focused funds lost 3.6 percent on average in June to take their first half-year performance further into negative territory at 7.7 percent. Fixed-income hedge funds, meanwhile, are suffering their worst year since 2008, with the group down 10.5 percent in the six months ending June after booking an average loss of 3.5 percent last month. Multi-strategy vehicles ended the first half of the year down 7.5 percent after incurring an average loss of 3.1 percent in June. Funds of hedge funds, meanwhile, edged down 1.2 percent in June to end the first half of 2022 down 1.5 percent.
At a country level, Finnish hedge funds lost the most in June after booking an average loss of 4.1 percent to end the first half of the year down 9.9 percent. The Danish hedge fund industry dominated by fixed-income strategies fell by 3.9 percent in June to extend their 2022 decline to 12.1 percent. Norwegian hedge funds, meanwhile, booked an average loss of 3.7 percent last month to take their 2022 performance in negative territory at 2.8 percent. Swedish hedge funds, which account for the largest portion of the Nordic hedge fund industry, fell by 4.6 percent year-to-date through the halfway point of 2022 after incurring a loss of 2.2 percent in June.
The performance dispersion between last month’s best- and worst-performing members of the Nordic Hedge Index increased month-over-month as lossess incurred by worst performers were larger in June compared to May. In June, the top 20 percent of Nordic hedge funds advanced 2.2 percent on average and the bottom 20 percent lost 9.8 percent, representing a top-to-bottom dispersion of 11.9 percent versus 8.1 percent in May. In May, the top 20 percent were up 3.3 percent and the bottom 20 percent were down 4.8 percent. One in every five members of the Nordic Hedge Index with reported June figures posted gains last month.
Top Performers in June
Long/short equity fund Elementa was last month’s best-performing member of the Nordic Hedge Index with an advance of 6.0 percent, which brought the fund’s performance for the first half of 2022 to 28.2 percent. The fund managed by a team led by Marcus Wahlberg is among the top three best performing Nordic hedge funds this year.
Lynx Asset Management’s systematic trend-following vehicle, Lynx, followed suit with a monthly advance of 5.1 percent. Lynx advanced 35.8 percent year-to-date through the halfway point of 2022. Technical analysis-focused Paleo Fund advanced 4.8 percent in June to bring the fund’s performance for the year back in positive at 0.9 percent.
Volt Diversified Alpha Fund, which relies on a fundamental-focused systematic trading program to capture price moves motivated by changes in underlying economic factors, also enjoyed strong performance in June. The fund gained 4.7 percent in June to end the first half of 2022 up 7.4 percent, as the rapid shift in market outlook in mid-June was beneficial for its Volt program. SEB’s quant-driven trend-follower, SEB Asset Allocation, ended the first six months of 2022 up 17.8 percent after gaining 4.2 percent in June.
The Month in Review for June 2022 can be downloaded below: