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HFRX Global Hedge Fund Index up 0.43% through mid-July (+1.71% 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. Hedge funds posted gains through mid-month, with the HFRX Global Hedge Fund Index posting a gain of +0.43%.

HFRX Macro/CTA Index posted a gain of +1.49% through mid-July, with contributions from quantitative, trend-following, systematic CTAs, Global Discretionary and Fixed Income strategies. The HFRX Macro Systematic Diversified/CTA Index gained +2.08% as global equities recovered after steep declines, yields experienced only modest changes and the US Dollar gained against major currencies.

HFRX Relative Value Arbitrage Index posted a gain of +0.36% through mid-July from contributions from Global Credit and Yield Alternative – Energy Infrastructure strategies. The HFRX Multi-Strategy Index posted a gain of +0.45%, on gains from exposure to global fixed income and equity positioning. HFRX Convertible Arbitrage Index posted a modest decline of -0.07% from mixed performance of global convertible managers.

HFRX Equity Hedge Index posted a gain of +0.23% through mid-July with contributions from Fundamental Value and Market Neutral managers, only partially offset by Fundamental Growth strategies. The HFRX Market Neutral Index gained +0.37%, on mixed performance of mean reverting, factor based strategies and fundamental managers. The HFRX Fundamental Value Index gained +0.69% with contributions from US large cap in the Consumer, Financial and Communications sectors, and mixed performance from European and Global equities. The HFRX Fundamental Growth Index posted a decline of -0.68% from losses concentrated in exposure to China and other Emerging Markets, only partially offset by gains in Global Healthcare strategies.

HFRX Event Driven Index posted a narrow decline of -0.04% through mid-July, as equity volatility continued on losses in China and uncertainty over Greece's bailout terms. The HFRX Merger Arbitrage Index gained +0.46% through mid-July with contributions from exposures to ascena/ANN, ACE/Chubb, Aetna/Humana, Noble Energy/Rosetta and Blackstone/Excel Trust transactions. The HFRX Special Situations Index posted a decline of -0.15%, with contributions from core positioning in DirecTV, American Realty, GE, AT&T and Innophos. The HFRX Distressed Index posted a gain of +0.22%, from exposure to restructurings in Consumer, Industrial and Energy sectors in the US.

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