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.