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Global financial markets were mixed in July with gains led by large cap Technology exposures as US interest rates declined to historic lows and despite continuation of the global pandemic quarantine. US gains were led by Technology, Healthcare, Consumer, Energy and commodity sensitive sectors, while European equities declined led by France, UK & Spain; Chinese equities posted strong gains. US interest rates declined on expectations for additional stimulus and slower global economic recovery than had been forecasted. The US Dollar declined as Gold & Metals commodities gained; Energy & Agricultural commodity gains were led by Oil, Coffee, Cattle, Lumber & Wheat. Hedge Funds & Risk Premia strategies posted gains in July with the HFRX Global Hedge Fund Index posting a gain of +1.35% for the period.
HFRX Relative Value Arbitrage Index posted a gain of +2.03% for July from gains in Multi-Strategy and Convertible Arbitrage managers. The HFRX Convertible Arbitrage Index posted a gain of +2.67% for the month as interest rates and volatility declined during the period. The HFRX RV: Multi-Strategy Index posted a gain of +1.97% for the month as interest rates fell to historic lows.
HFRX Macro/CTA Index posted a gain of +1.78% for July from gains in Global Discretionary managers and systematic trend-following strategies. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a gain of +1.89% as the US Dollar declined against most currencies, Oil markets gained, and Metals and Agricultural commodities also posted gains.
HFRX Event Driven Index posted a gain of +0.89% for July from gains in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Merger Arbitrage Index posted a gain of +0.94% as M&A global activity continued and spreads on existing deals contracted. The HFRX Special Situations Index posted a gain of +0.89% from exposure to Global and Asian catalyst-driven, fundamental value equities.
HFRX Equity Hedge Index posted a gain of +0.82% for July, from gains in Fundamental Value managers, only partially offset by declines in Fundamental Growth and Market Neutral strategies. The HFRX Fundamental Value Index posted a gain of +1.72% from exposure to large-cap equities in the US and Western Europe. The HFRX Fundamental Growth Index posted a decline of -0.21% from gains from exposure to developed markets which were offset by Emerging Markets equities. The HFRX Market Neutral Index declined -1.77% for the month from declines in mean reverting, factor-based strategies and fundamental managers.
Comments reference performance figures for July 31, 2020