HFRU Indices: July 2013 Performance Commentary

Global financial markets posted strong gains in July as equities recovered from the June losses on strong earnings releases led by Starbucks, Facebook, Wells Fargo and other US Financials. Equity markets posted gains across regions, sectors and capitalization, with leadership from small cap, Biotechnology, Healthcare & Financials. European equity gains were led by France, Italy, the Netherlands, Spain and Sweden, while Asian gains were led by Australia and Hong Kong as equity volatility declined. The US yield curve steepened as yields increase across mid-to-longer dated maturities while shorted dated yields declined for the month, high yield credit tightened over 100 basis points. Energy and Metal commodities gained led by Oil, Gold and Platinum, while agricultural commodities declined led by sharp declines in both Corn & Soybeans. The US dollar declined against the Euro but was little changed against both the British Pound and Japanese Yen. UCITS compliant hedge funds posted gains, with the HFRU Hedge Fund Composite Index gaining +0.77% in July.

• HFRU Equity Hedge Index posted a gain of +1.49% in July, with contributions from Healthcare, European, MENA and Technology exposure, partially offset by positioning in Brazil, Turkey and India.
  
• HFRU Event Driven Index posted a gain of +1.03% in July, with contributions from European and Asian Equity Special Situations and Global Merger Arbitrage strategies.
  
• HFRU Macro Index posted a gain of +0.31% in July, with mixed contributions from Systematic Commodity strategies with gains concentrated in Currencies and Metals which were partially offset by exposure to India and Active Trading strategies.
  
• HFRU Relative Value Arbitrage Index gained +0.15% in July, with gains in Real Estate, Global Convertible and Credit strategies, only partially offset by Volatility and Fixed Income: Asset-Backed strategies.

Comments reference performance as posted on August 1, 2013