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In July, global financial markets posted a mixed performance. Interest rates declined sharply while geopolitical and election uncertainty accelerated. Global equity markets also had a mixed performance – technology stocks fell while other large-cap stocks gained, and small-caps surged. The United Kingdom and Brazil led regional gains while Japan led regional declines. European central banks cut rates, and investors positioned themselves for US rate cuts. The Bank of Japan raised interest rates. Natural Gas, Aluminum, and Soybeans led commodity declines in July, but Gold gained to a record high.

Hedge Funds gained for the month – led by Event Driven Strategies – with the HFRX Global Hedge Fund Index gaining +0.74% for the month.

HFRX Event Driven Index gained +1.46% for the month from gains in Merger Arbitrage strategies and Special Situations managers. The HFRX Merger Arbitrage Index gained +2.58% as global equity markets posted a mainly positive performance in July. The HFRX Special Situations Index gained +1.39% from gains in exposure to global catalyst-driven fundamental value equities.

HFRX Relative Value Arbitrage Index gained +1.18% for July from gains in Multi-Strategy managers and Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index gained +1.22% as interest rates declined in July. The HFRX Fixed Income Convertible Arbitrage Index gained +0.67% for the month as volatility rose.

HFRX Equity Hedge Index gained +0.71% for the month from gains in Fundamental Value and Market Neutral strategies partially offset by a small decline in Fundamental Growth. The HFRX Fundamental Value Index gained +1.08% from gains concentrated in Large-Cap US and European equities. The HFRX Equity Market Neutral Index gained +0.87% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Growth Index narrowly declined -0.01% from declines in exposure to small-cap US and European equities.

HFRX Macro/CTA Index declined -1.11% for July from declines seen in systematic trend-following managers. The HFRX Macro Systematic/CTA Index declined -2.55% as the US Dollar posted a mixed performance – gaining on the Canadian and Australian Dollar, but declining against the Euro, Pound, and Japanese Yen. Commodities declined in July led by Natural Gas, Aluminum, and Soybeans. Gold gained to a record high.

Comments reference performance figures as of July 31, 2024