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Alternative Market Briefing

Macro hedge funds lead broad-based July gains

Thursday, August 08, 2019

Laxman Pai, Opalesque Asia:

As Macro strategies led industry performance driven by the month-end spike in financial volatility on the escalation in trade wars and lower U.S. interest rates, hedge funds posted gains in July, said Hedge Fund Research.

The HFRI Fund Weighted Composite Index gained +0.7% for the month, increasing the Index Value to 14,465, advancing the record index level from the prior month, it said.

Meanwhile, the HFRI 500 Fund Weighted Composite Index, an investible index of 500 leading hedge funds, advanced +0.8% in July, increasing YTD performance to +7.6%.

Risk Premia strategies also posted gains, led by Currency exposures, as the HFR BSRP Index surged +5.66% for the month.

Liquid Alternatives also advanced in July, as the HFRI-I Liquid Alternative UCITS Index added +0.63% for the month, led by the HFRI-I Liquid Alternative UCITS Macro Index, which gained +1.26%.

Among the major hedge fund strategies, Macro hedge funds led gains as volatility increased across equity, currency, fixed income and commodity markets into month-end, driven by an escalation of trade wars, the U.S. Federal Reserve lowering interest rates, and ongoing Brexit considerations.

The HFRI Macro (Total) Index advanced +1.7% in July, topping the gain of the S&P 500 Index, led by quantitative, trend-following CTA and Commodity strategies. The HFRI Macro: Systematic Diversified Index gained +2.8% for the month, while the HFRI Macro: Commodity Index added +1......................

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