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HFRU Hedge Fund Composite Index up 0.60% through mid-July (+4.32% YTD)

Monday, July 20, 2015
Opalesque Industry Update - Global financial market volatility accelerated through mid-July, with uncertainty across assets driven by extreme volatility in Chinese equities as well as fluid political & economic turmoil in Europe regarding the proposed bailout & referendum in Greece. Global equity markets posted steep losses through early July though recovered much of the declines by mid-month, with the notable exception of Chinese equities which only partially recovered steep early month declines.

US gains were led by Biotechnology, and Healthcare, which were only partially offset by losses in Energy and commodity sensitive sectors, while regional equity market gains were led by France, Germany, Switzerland and the Netherlands. Oil posted steep losses through mid-July on Iran supply concerns, metals commodities also fell while agricultural commodities were mixed led by sharp declines in Wheat. US treasury yields were modestly higher through mid-month, while European yield were mixed and little changed; the US Dollar gained against most currencies including the Euro, British Pound Sterling and Japanese Yen. UCITS compliant Hedge Funds posted gains through mid-July with the HFRU Hedge Fund Composite Index gaining +0.60%.

HFRU Macro Index posted a gain of +0.78% through mid-July with contributions from Systematic/CTA and Discretionary and Volatility managers as global equities recovered after steep declines, yields experienced only modest changes and the US Dollar gained against major currencies.

HFRU Equity Hedge Index posted a gain of +0.66% through mid-July with contributions from Pan-European strategies with gains concentrated in developed Continental Europe as sentiment improved concurrent with Greece bailout proposal, which were only partially offset by declines in exposure to China and other Emerging Markets.

HFRU Event Driven Index posted a gain of +0.31% through mid-July with contributions from Distressed/Restructuring managers and European and US Special Situations equities, while Merger Arbitrage strategies experienced mixed performance.

HFRU Relative Value Arbitrage Index posted a gain of +0.29% through mid-July, with contributions from Yield Alternative – Real Estate and Volatility strategies partially offset by declines in Global Convertible managers, while Credit strategies had mixed performance.

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