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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. Hedge Funds and Risk Premia indices posted mixed performance with the HFRX Global Hedge Fund Index declining -0.44% while the HFRX Market Directional Index gained +0.80% for July.
HFRX Equity Hedge Index posted a gain of +0.46% for July, from gains in Fundamental Growth and Value strategies. The HFRX Fundamental Growth Index posted a gain of +0.74% from exposure to growth US and Emerging Markets equities. The HFRX Fundamental Value Index gained +0.45% from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index declined -0.91% for the month from declines in mean reverting, factor-based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index was basically unchanged for July from muted performance in Multi-Strategy managers and narrow declines in Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index was basically unchanged for the month as yields decreased during the month. The HFRX Convertible Arbitrage Index posted a narrow decline of -0.07% as volatility remained low during the period and yields declined.
HFRX Macro/CTA Index posted a decline of -0.67% for July, from declines in Discretionary Thematic and Systematic trend-following managers. Macro Discretionary managers posted declines from exposure to opportunistic Fixed-Income and global multi-asset strategies. The HFRX Macro Systematic/CTA Index posted a decline of -0.72% as the US Dollar weakened against most major currencies and Energy commodities posted gains while Metals declined and Agriculturals were mixed.
HFRX Event Driven Index posted a decline of -1.71% for July, with declines in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Special Situations Index posted a decline of -1.70% from declines concentrated in exposure to Asian catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index declined -1.87% from declines in exposure to global M&A deals.
Comments reference performance figures as of July 30, 2021