Hedge funds squeaked into positive territory in July, as CTAs’ gains were offset by losses for funds with equity exposure to energy and China, Hedge Fund Review reported Friday.
The HFRI Fund Weighted Composite Index posted a single basis point gain for the month, following a decline of 1.3% in June. Year to date through July, the index is up.
The largest funds outperformed small and midsize ones last month, with the asset-weighted version of the HFRI index gaining 1.4%.
Positive CTA performance lifted macro to the top-performing strategy group for the month, with the HFRI Macro Index gaining 1.2%.
The systematic diversified/CTA strategy picked 2.1% in July, partially reversing its 3.5% loss in June, the worst monthly decline since May 2011.
The strategy’s gains were concentrated in exposures to short commodity, long U.S. dollar and variable equity market positions. HFR noted that many of these positions had reversed from June, as quantitative models tracked strong and robust trends across these asset classes.
The July gain brought the CTA Index back into positive territory for 2015, with a year-to-date gain of 0.4%.
Equity hedge strategies declined by 0.8% in July, with negative contributions from funds exposed to China and energy equities.
The HFRI EM: China Index fell by 7.7%, its worst monthly performance since September 2011, although this decline looked good compared with the 14.3% loss for the Shanghai Composite Index.
Energy equities also hit the skids in July, down 6.7%, the worst monthly decline since May 2012.
Technology/healthcare partially offset these losses, rising 2.1% in July to lead all sub-strategy indices for 2015 with a year-to-date gain of 11.3%.
The event-driven and fixed income-based relative value arbitrage strategies turned in a mixed performance July, with the former down 0.3% and the latter down by three basis points.
Activist strategies led event-driven sub-strategy performance, advancing 1.4% for the month for a 6.8% year-to-date gain.
Strategies that traded volatility as an asset class led July’s relative value arbitrage sub-strategy performance, up 2.1% and up 7.9% for the year.
“While the concentrated sectoral and regional weakness occurred in areas with highly specialized exposures, broader trends across major strategies continue to be favorable and the outlook for investors in 2H15 positive,” HFR President Kenneth Heinz said in a statement.
“Industry performance is likely to be led by the industry’s leading and most well-established hedge funds, capturing opportunistic gains as financial market volatility rises and falls through a challenging environment of post-QE normalization.”