June 2026 Strategy net performance was -0.32%, taking year-to-date performance to -0.66%. The month played out against a backdrop of heightened uncertainty around the robustness of the MOU resolution in the Middle East. Energy markets remained the key swing factor for the inflation outlook, with several CPI prints coming in lower than expectations. G10 central banks continued to stay on alert, with the BoJ and ECB both hiking 25bp. However, markets continuing to price less hikes of policy rates across most of the bloc as energy prices fell, most visibly in NZD, GBP and AUD. Fiscal sustainability questions also resurfaced across several G10 sovereigns, notably France, UK and Japan, feeding into intermittent term-premium repricing at the long end.
X Currency Interest Rate | -0.30%
The largest detractor for the month. Losses were led by UK cross-currency positioning and a further drawdown in Australasian rate differentials, while Japan positioning was broadly neutral.
Spreads | -0.22%
A negative month across most liquidity pools, with Japan the largest detractor as spread-to-swap relationships moved against existing positioning, followed by Europe and the UK.
Inflation | -0.09%
A modest drag, driven by European inflation positioning as breakeven pricing continued to soften faster than in the US.
FX | -0.06%
Broadly flat, with small losses in UK and Australasian FX positioning as currencies traded in tight ranges.
Curve | -0.07%
A modest negative contribution spread evenly across UK, North American and European curve positions, partially offset by gains in Australasia and Japan.
Volatility | -0.01%
Essentially flat at the portfolio level. Losses in Australasian and UK volatility positioning were largely offset by gains in Japan and North America.
Duration | +0.24%
The strongest contributor for the month, driven almost entirely by a long position in Australasian short-dated rates as the market continued to build in a higher probability of further easing.
