08/02/2022 Performance Notes

In July, global financial markets gained following the worst 1H of a calendar year in over 50 years despite the US economy entering a recession and the Federal Reserve raising interest rates. Global equity markets surged for the month, led by Technology & Energy, while France, India, and the Netherlands led regional gains. Bond yields declined across all maturities regardless of the Fed increasing interest rates, and the US Dollar strengthened across the board against all other currencies. Natural gas surged on supply cuts while Oil posted a sharp decline; Copper led Metals declines while Corn & Lumber led agricultural commodity declines.
Hedge Funds posted gains in July led by Relative Value & Equity Hedge Strategies with the HFRX Global Hedge Fund Index gaining +0.54%.
HFRX Relative Value Arbitrage Index gained +2.15% for July from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +2.25% as volatility rose in July. The HFRX RV: Multi-Strategy Index gained +2.13% as the Federal Reserve increased interest rates during the month.   
HFRX Equity Hedge Index gained +1.20% for the month from gains in Fundamental Growth and Value managers as well as Market Neutral strategies. The HFRX Fundamental Value Index gained +1.26% for July from gains in exposure to large-cap US & European equities and Technology. The HFRX Fundamental Growth Index posted a gain of +1.24% for the month from gains in small-cap US, European, and Emerging Markets equities. The HFRX Market Neutral Index gained +0.47% from gains in mean reverting, factor-based strategies and fundamental managers.  
HFRX Event Driven Index posted a decline of -0.45% for July, with declines in Special Situations equity strategies offsetting gains in Merger Arbitrage strategies. The HFRX Merger Arbitrage Index gained +1.21% for the month as global equities surged for the month led by Technology and Energy. The HFRX Special Situations Index declined -0.56% from mixed performance in exposure to global catalyst-driven, fundamental value equities.
HFRX Macro/CTA Index declined -1.48% for the month from declines in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index posted a decline of -3.89% for July despite the US Dollar strengthening across all currencies. Commodities declined sharply with Agricultural declines led by Corn & Lumber, Copper leading Metals declines, and Oil leading Energy declines. 
Comments reference performance figures as of July 29, 2022