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Strong technology earnings were partially offset by renewed concerns regarding the spread of new virus variants resulting in mixed global market performance in July. US large caps posted gains while small caps led declines with sector gains led by Energy & Healthcare. European equities posted small gains while Asian equities posted modest declines. US interest rates fell as credit tightened while the US Dollar declined against most currencies. Energy commodity gains were led by natural gas & oil, while metals were mixed with gains led by Copper; Coffee led gains in Agricultural commodities which were offset by declines in Corn. 
 
July was another interesting month for Bank Systematic Risk Premia indices. Inflation fears seemed to subside in the markets and a “risk on” appetite retuned as both equities and bonds trended up. Accordingly, Equity Momentum gained +2.44% MTD (+26.55% YTD). Multi-Asset Momentum, which is comprised primarily of long-only momentum strategies in stock indices and bonds, also gained strongly at +9.24% MTD (27.96% YTD). In commodities, Commodity Carry was up +1.69% MTD (+18.14% YTD), but Commodity Momentum declined -1.08% MTD, but still up +17.05% YTD. Credit Carry also declined-1.89% MTD (+4.89% YTD).
 
Comments reference performance figures as of July 30, 2021