{"id":24364,"date":"2012-08-20T08:01:50","date_gmt":"2012-08-20T06:01:50","guid":{"rendered":"http:\/\/beta.next-finance.net\/news\/sunny-outlook-for-hedge-funds-in-july\/"},"modified":"2019-12-30T22:25:22","modified_gmt":"2019-12-30T21:25:22","slug":"sunny-outlook-for-hedge-funds-in-july","status":"publish","type":"post","link":"http:\/\/beta.next-finance.net\/en\/news\/sunny-outlook-for-hedge-funds-in-july\/","title":{"rendered":"Sunny outlook for hedge funds in July"},"content":{"rendered":"

In July, all market segments were up, extending a positive trend started last month. Stocks gained 1.39% (S&P 500) with a nearly stationary implied volatility (VIX: 18.9%). Fixed-income instruments exhibited significant performance across all risk classes: worldwide and US high-grade (1.01% and 0.93% respectively), convertibles (0.95%), and the credit-spread index (0.66%). Commodities staged a comeback (6.07%) after having suffered huge losses over the last three months, while the Dollar (0.13%) was almost unchanged.<\/p>\n

Hedge fund strategies exposed to the equity risk factor logically benefited from the market environment, but captured less than half of its return due to rather low dynamic exposure: Equity Market Neutral (0.35%), Event Driven (0.59%) and Long\/Short Equity (0.43%). The latter category, although more directional in nature, seems to have been negatively impacted by a bias towards small-caps, which underperformed by 2.16%.<\/p>\n

Convertible Arbitrage returned 0.90%, exhibiting some alpha in excess of its risk-drivers-induced performance. The CTA Global strategy (3.05%) showed another one of the wild swings which has characterised its track record since the beginning of the year, the largest part of it being idiosyncratic (in excess of just 1% stemming from an exposure to bonds and commodities). <\/p>\n

Funds of Funds, finally, with all the underlying strategies showing gains, recorded its best performance since February (0.72%).<\/p>\n

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