HFR BSRP Indices Commentary July 2020

07/31/2020 Performance Notes

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.
In July 2020, the Bank Systematic Risk Premia strategies benefited from risk-on behavior even as the pandemic continued to roil the markets. The HFR BSRP Currency Momentum Index was up +5.73% on the month; +13.92% YTD as the dollar trended down against European currencies. In commodities, the HFR BSRP Commodity Carry Index was up +3.06%; +32.49% YTD as gold trended higher and energies continued to be range-bound. Rates strategies continued to perform as both the HFR BSRP Rates Carry and HFR BSRP Rates Momentum Indices were up +1.27% and +0.50% respectively; +20.63% and +16.45% YTD.
HFR BSRP Commodity Momentum Index declined -0.22% for the month; +14.85% YTD as range-bound trading in energies and most agriculturals more than offset strong trends in precious metals.
Comments reference performance figures as of July 31, 2020