UGA – Hedge Fund Bulletin

Executive summary
Strategy performance
Monthly hedge fund review
Equity Hedged
Relative Value
Credit / Income
Trading

Market context

Risk assets generated mixed to positive performance in June. The anticipated completion of a deal in the Middle East helped ease residual pressure in energy markets, further supporting equity markets. Markets remained focused on the AI-driven theme, although extended valuations and leveraged exposure to the sector weighed on market sentiment. The new US Federal Reserve Chair signaled more of a hawkish tone during his press conference, emphasizing the Fed’s continued focus on bringing inflation back toward its target range. The Dow Jones, S&P and NASDAQ posted mixed performance with the Dow Jones gaining 2.52%, while the S&P and NASDAQ fell -1.06% and -2.81%, respectively. European indices also generated mixed performance with the MSCI Europe and FTSE producing gains of 2.92% and 0.55%, respectively. Conversely, the DAX index fell -0.43%. Asian developed markets continued to outperform other regions, generating positive results with the Nikkei 225 generating a gain of 5.83%. Emerging market indices also produced mixed performance in June as Indian and Chinese markets rallied 2.28% and 0.63%, respectively. Brazilian markets eased -1.01%. In US interest rate markets, front-end rates rose modestly, while there was little movement in the back-end of the curve. The two-year US Treasury yield moved higher to 4.14% from 3.98%, while the ten-year US Treasury yield edged lower to 4.44% from 4.45%. The Barclays US Corporate Investment Grade Index rose 0.19%, while the Barclays US Corporate High Yield Index gained 0.27% as carry income drove results. Commodity prices were again broadly weaker as gold fell -12.1%, while oil declined -18.5% (WTI). In currency markets, the Euro fell -2.02% against the US Dollar to 1.1420 from 1.1655, while the US Dollar rose 2.09% against the Japanese Yen from 159.19 to 162.51.

Sources: Pound Sterling Live, Exchange Rates UK, U.S. Department of the Treasury, Bloomberg, Gold Price, Business Insider.

Hedge fund highlights

Equity Hedge: Equity Hedged strategies generated broadly positive returns, with positive alpha contribution from the long book and continued strength in Asia despite late-month technology-led pressure.

Relative Value / Event Driven:: Relative Value strategies delivered positive returns, led by convertible bonds, fixed income RV and equity capital markets trades, while quantitative equity and merger arbitrage were weaker areas.

Credit / Income: Credit / Income strategies were positive overall, supported by traditional corporate long / short gains and steady carry contribution across asset-backed, agency and short duration private credit themes.

Trading / Macro: Trading strategies were mixed, as macro managers benefited from equity trading but were challenged by developed market front-end exposure and commodity losses in precious metals and energy.

Key takeaways for allocators

June reinforced the value of diversified hedge fund exposure, as most strategies contributed positively despite shifting market leadership.

Manager selection remained important, with performance dispersion visible across regions, sectors and sub-strategies.

Asia continued to stand out as a source of relative strength, while crowded AI / technology exposure introduced late-month volatility.

Credit and carry-oriented strategies provided a steadier return profile, helping balance more directional equity and macro exposures.

Performance snapshot (in %)

Index	26-Jun	26-May	26-Apr	QTD	YTD	1Y Annualized Return	3Y Annualized Return	5Y Annualized Return	10Y Annualized Return	10Y Volatility
MSCI World Total Return - Net USD	-0.72	4.55	9.59	13.76	9.69	21.34	19.24	11.47	13.14	14.89
FTSE US Broad Investment-Grade Bond Index	0.22	0.34	0.18	0.74	0.65	3.86	4.19	0.04	1.56	5.09
Barclays Global High Yield Index	0.2	0.7	2.58	3.5	2.14	7.15	10.64	4.24	5.36	8.23
Bloomberg Commodity Index Total Return	-8.54	-3.56	4.21	-8.08	14.36	25.46	11.69	9.37	5.83	13.87
ICE BofA Merrill Lynch 3-month T-Bill Total Return Index (G0O1)	0.29	0.3	0.29	0.89	1.74	3.84	4.64	3.52	2.34	2.02
HFRI Fund of Funds Composite Index	0.56	3.08	3.91	7.13	7.87	15.92	10.49	5.78	5.95	5.07
HFRI Equity Hedge (Total) Index	1.26	2.7	6.58	10.6	10.06	21.43	14.9	7.54	9.17	8.89
HFRI Event-Driven (Total) Index	1.23	2.07	4.07	7.29	6.8	13.64	11.92	6.63	7.5	7.01
HFRI ED: Credit Arbitrage Index	-1.38	1.63	2.52	2.41	0.96	5.7	8.66	5.97	6.77	6.67
HFRI Macro (Total) Index	-1.49	0.17	2.44	1.3	6.12	15.06	6.4	5.22	4.22	5.07
HFRI Macro: Systematic Diversified Index	-1.42	-0.45	2.89	1.49	9.05	17.67	2.94	3.63	2.5	7.65
HFRI Relative Value (Total) Index	0.25	0.6	1.25	2.05	3.77	7.96	8.15	5.43	5.4	4.2

Bar chart showing year-to-date and month-to-date performance across hedge fund and traditional market indices as of June 30, 2026. — Source: UGA - Hedge Funds, Bloomberg, Barclays (Lehman) Live, HFR. For illustrative purpose only. As of June 30, 2026. Historical performance indications and financial market scenarios are not reliable indicators of future performance. Please note that the composition, methodology, and reported values of the HFRI Index are subject to periodic updates and revision by Hedge Fund Research, Inc.

Strategy performance as of June 30, 2026. Historical performance indications and financial market scenarios are not reliable indicators of future performance.

Overall market commentary

June was a broadly positive month for the UGA – HF platform. Most strategies contributed positively to performance during the month. The deal to end the war in Iran provided additional support for the risk-on dynamic, as commodities, especially across the energy complex, declined sharply. The beta rally that began at the start of Q2 continued, although market leadership did shift during the month. The new US Federal Reserve Chair Warsh signaled a more hawkish tone, emphasizing bringing inflation back within the 2% target. Front-end yields retreated, while the longer end of the Treasury curve was more muted as the probability of an interest rate hike this year increased. Asian equity markets continued to outperform, while results across the US and Europe were more mixed. Overall, investor sentiment remained constructive, with positioning indicating broad risk exposure across client types.

Source: UGA - Hedge Funds, HFR. For illustrative purpose only. As of June 30, 2026. Historical performance indications and financial market scenarios are not reliable indicators of future performance. Please note that the composition, methodology, and reported values of the HFRI Index are subject to periodic updates and revisions by Hedge Fund Research, Inc. This does not constitute a guarantee by UBS Asset Management.

Equity Hedged strategies generally produced positive returns in June. The steady easing of tensions in the Middle East supported a risk-on climate. Manager performance reflected greater dispersion given the shift in market leadership away from AI / technology sector. Amid factor rotations and varied performance at the manager level, overall alpha contribution was positive at the platform level, especially from the long side

Additionally, the decline in energy prices and the diminished expectations for rate cuts in the US resulted in headwinds for certain market sectors. Late in the month, weakness was pronounced across AI / technology sector following the SpaceX IPO, where hedge funds were seen to be notable sellers. Investor concerns also increased regarding memory related names and free cash flow visibility beyond this year for the hyperscalers.

Despite some rebalancing across portfolios, Asia continued to outperform other regions amid heightened volatility, especially Korea. Japan, Korea and China markets ended in positive territory despite volatility towards month-end. European managers’ performance was broadly positive and largely insulated from the technology-led selling pressure.

Please note that data in the table seems to be from last month. Please see table with data attached. Let me know if it’s possible to have negative numbers in red.

Relative Value strategies delivered positive performance in June. Quantitative equity strategies delivered overall negative results in what was an uneven performance for the first half of the year. Convertible bond strategies delivered positive returns, benefiting from increased IPO and merger activity which provided attractive opportunities. Additionally, those managers that were active in equity capital markets trades, notably index rebalancing (also a theme across some multi-strategy managers), saw outsized gains during the month.

Fixed income relative value strategies were modestly positive on the back of bond RV themes, while macro expressions were fairly quiet. Agency MBS strategies were mixed to positive due to carry income and limited prepayments. Lastly, merger arbitrage strategies were somewhat negative in June.

Credit / Income strategies generally produced positive returns in June. Interest rate markets were again modestly weaker at the front end of the curve given the remarks from the US Federal Reserve on inflation. Otherwise, the change in interest rates was quite muted further out of the curve as well as relative to equities.

Traditional corporate long / short strategies contributed positively as long positions drove performance. Carry themes across asset-backed, agency and short duration private credit sub-strategies also contributed positively to performance.

Trading strategies were mixed in June. Both developed and emerging market macro strategies were supported by equity trading but somewhat challenged by DM front end exposure. Inflation pressures challenged receiver and steepener positions outside of Japan.

Equities were a contributor, despite some tapering of momentum in Asian. Commodity strategies also produced mixed results. Strategies across rare earth metals and power trading were generally positive. Conversely, those managers with exposure to precious metals and / or energy were challenged as position unwinding continued in these sectors.

Source: UGA - Hedge Funds, HFR. For illustrative purpose only. As of June 30, 2026. Historical performance indications and financial market scenarios are not reliable indicators of future performance. Please note that the composition, methodology, and reported values of the HFRI Index are subject to periodic updates and revisions by Hedge Fund Research, Inc. This does not constitute a guarantee by UBS Asset Management.

This document has been prepared by UBS Asset Management (Americas) LLC, acting through Unified Global Alternatives - Hedge Funds (“UGA - Hedge Funds” or “UGA - HF”), a provider of hedge fund strategies. It contains UGA - Hedge Funds' view of market events during the specified period and all such information and opinions are subject to change without notice, and does not pertain specifically to products managed or advised by UGA - Hedge Funds. The materials are provided for information purposes only and do not constitute investment advice. The information contained herein is believed to be reliable but its accuracy is not guaranteed. This publication encompasses UGA - Hedge Funds’ views based on our internal manager universe and are subject to change. The universe includes managers that are either invested in or followed by UGA - Hedge Funds and does not represent all hedge fund managers and strategies available in the industry. Any indices shown throughout this report are for illustrative purposes only and not a representation of UGA - Hedge Funds universe performance.

C-06/26 M-005872

Strategy definitions

Equity Hedged managers generally use fundamental analysis to invest in publicly traded equities and seek to generate alpha through superior security selection. Portfolio construction is driven primarily by bottom-up fundamental research; top-down analysis may also be applied. Sub-strategies include: Fundamental, Equity Event, and Opportunistic Trading.

Trading strategies are generally top-down in nature and often driven by econometric and macroeconomic research. These strategies may utilize financial instruments, such as foreign exchange, equities, rates, sovereign debt, currencies, and commodities to express a manager's view. In executing different approaches, managers may use either fundamental or quantitative models or a combination of both. Sub-strategies include: Systematic, Discretionary and Commodities.

Relative value is a broad category, generally encompassing strategies that are non-fundamental and non-directional, and often quantitatively driven. Managers in this strategy typically use arbitrage to exploit mispricings and other opportunities in various asset classes, geographies, and time horizons. Managers frequently focus on capturing the spread between two assets, while maintaining neutrality to other factors, for example to geography, changes in interest rates, equity market movement, and currencies, to name a few examples. Sub-strategies include: Fixed Income Relative Value, Agency MBS, Quantitative Equity, Cap Structure/Vol Arb and Merger Arbitrage.

In Credit/Income strategies, managers utilize credit analysis to evaluate potential investments and use debt or debt-linked instruments to execute their investment theses. Their approach can be either fundamental, quantitative, or a combination of both. Sub-strategies include: Distressed, Corporate Long/Short, Asset-Backed, Reinsurance / ILS, CLO/Corporate Lending and Other Income.

Other: This category contains investment approaches that are outside of the mainstream hedge fund strategies (Equity Hedged, Credit/Income, Relative Value, and Trading). The category includes nice investment approaches. Money Market funds and cash strategies are also included in this category, as are Liquidating/Side Pockets.

Risk Parity generally focuses on the passive allocation of risk, rather than of capital, in an attempt to provide a higher Sharpe ratio alternative to the traditional 60% stock / 40% bond portfolio through the use of a wider range of uncorrelated assets, low leverage, and low equity risk. Please note, while an alternative to traditional asset allocation, Risk Parity is not a hedge fund Strategy.

Index descriptions

The use of indices is for illustrative purposes only. Unlike the Fund, some indices are unmanaged, are not available for direct investment and are not subject to management fees and other fees and expenses. The Fund does not restrict its investments to securities in the indices described. No index is directly comparable to the investment strategy of the Fund. Information about the index is derived from sources that we believe to be reliable, but we have not independently verified them and do not warrant as to its accuracy or completeness.

The Barclays Corporate High Yield Index covers the universe of fixed rate, non-investment grade debt. Pay-in-kind (PIK) bonds, Eurobonds, and debt issues from countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG countries are included. Original issue zeroes, step-up coupon structures, and 144-As are also included.

The Barclays Global Aggregate Index provides a broad-based measure of the global investment grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

The Citigroup Broad Investment Grade Bond Index is an unmanaged index generally representative of the performance of the investment grade corporate and U.S. government bonds.

The Dow Jones - UBS Commodity Index Total Return index is comprised of futures contracts on 19 physical commodities. It reflects the return on fully collateralized futures positions and is quoted in USD.

The HFRI Equity Hedge Total Index is equally weighted performance index. The HFRI is broken down into four main strategies, each with multiple sub-strategies. This index represents the Equity Hedged strategy, which includes funds who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity Hedged managers would typically maintain at least 50%, and may in some cases be substantially entirely invested in equities, both long and short.

The HFRI Event Driven (Total) Index is an equally weighted performance index. The HFRI is broken down into four main strategies, each with multiple sub-strategies. This index represents the Event Driven strategy, which is also known as corporate life cycle investing. The constituents of this index are funds investing in opportunities created by significant transactional events of a wide variety, including but not limited to spin-offs, mergers and acquisitions, tender offers, security issuance, bankruptcy reorganizations, recapitalizations and share buybacks. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments.

HFRI FOF: Conservative Index FOFs classified as "conservative" exhibit one or more of the following characteristics: seeks consistent returns by primarily investing in funds that generally engage in more "conservative" strategies such as Equity Market Neutral, Fixed Income Arbitrage, and Convertible Arbitrage.

The HFRI FOF: Diversified Index includes fund of funds classified as "diversified." Fund of funds classified as "diversified" exhibit one or more of the following characteristics: invests in a variety of strategies among multiple managers; historical annual return and/or a standard deviation generally similar to the HFRI Fund of Fund Composite index.

The HFRI Fund of Funds Composite Index is an equally weighted performance index broken down into 37 different categories by strategy. There is no required asset-size minimum for fund inclusion in the HFRI and there is no required length of time a fund must be actively trading before inclusion in the HFRI.

The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of USD 50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

The HFRI Macro Total Index is equally weighted performance index. The HFRI are broken down into four main strategies, each with multiple sub-strategies. This index represents the Macro strategy, which involves investing by making leveraged bets on anticipated price movements of stock markets, interest rates, foreign exchange and physical commodities. Macro managers employ a "top-down" global approach, and may invest in any market using any instrument to participate in expected market movements. These movements may result from forecasted shifts in world economies, political fortunes or global supply and demand for resources, both physical and financial. Exchange-traded and over-the-counter derivatives are often used to magnify these price movements.

The HFRI Macro: Systematic Diversified Index is equally weighted performance index. The HFRI are broken down into four main strategies, each with multiple sub-strategies. The HFRI Macro: Systematic Diversified Index represents the Systematic Diversified sub-strategy, which involves investing by employing mathematical, algorithmic and technical models, with little or no influence of individuals over the portfolio positioning. Managers in these strategies employ an investment process designed to identify opportunities in markets exhibiting trending or momentum characteristics across individual instruments or asset classes. The quantitative aspect of the investment process is focused on identifying statistically robust or technical patterns in the return series of the asset, and typically highly liquid instruments. Systematic managers maintain shorter holding periods than either discretionary or mean reverting approaches. Although some systematic strategies seek to employ counter trend models, the strategy tends to benefit most from an environment characterized by persistent, discernable trending behavior.

The HFRI Relative Value (Total) Index is equally weighted performance index, utilized by numerous hedge fund managers as a benchmark for their own hedge funds. The HFRI are broken down into four main strategies, each with multiple sub-strategies. This index represents the Relative Value Arbitrage strategy, which attempts to take advantage of relative pricing discrepancies between instruments involving equities, debt, options and futures. Managers may use mathematical, fundamental, or technical analysis to determine misvaluations. Securities may be mispriced relative to the underlying security, related securities, groups of securities, or the overall market. Many funds use leverage and seek opportunities globally. Arbitrage strategies include dividend arbitrage, pairs trading, options arbitrage and yield curve trading.

The J.P. Morgan Government Bond Index is the most widely-used measure of performance of leading government bond markets. The indices measure the total, principal, and interest returns in each market and can be reported in 18 different currencies. By including only traded issues, the Index provides a realistic measure of market performance for international investors

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States.

The MSCI EMF Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets.

The MSCI World Total Return Index uses the same methodology as the MSCI USD World Index but also includes reinvestment of dividends. Net Dividends: This series approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses with holding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The index performance has been translated into the feeder currency using the applicable daily currency exchange rate from Bloomberg.

The Nikkei 225 JPY Index Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange.

Standard and Poor's 500 Index (S&P500) is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

S&P GSCI Total Return Index is a fully-collateralized index, showing total return an investor would receive from S&P GSCI excess return plus T-bill return on the collateral. Its components are updated on a yearly basis and include energy, industrial metals, precious metals, livestock, and agricultural commodities. The S&P GSCI can offer a benchmark for investment performance in the commodity markets.