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Performance Preview July 2022

As the FED delivered its second triple hike in a row, and we saw a second negative quarterly GDP print, markets decided that recession was to be pronounced rɪsk ɒn ˈsɛʃən [risk on session]. To the relief of equity related strategies and to the dismay of macro strategies, markets staggered a rally, in anticipation of a less aggressive tightening.

NilssonHedge Daily CTA Index

On a preliminary basis, judging by the NilssonHedge Daily Performance Barometers, CTA lost 1.9% for relatively low volatility programs. Equity Long/Short, a strategy heavily dependent on equity market directionality, gained 2.3%. Event-Driven strategies, less sensitive to Equity Markets but yet sensitive gained 1.2%. Market Neutral hedge funds struggled and had a flat month. And the strategy that has one of the highest beta to risk-on/risk-off markets, Crypto Trading recovered a whopping 28%.

Monthly Returns for the NilssonHedge Daily Crypto Index

As markets have re-entered risk-on territory, CTAs moderated their short-positions in equities (and may not be flattish). They remain short bonds and long the US Dollar.

Short-Term Correlation and Beta for CTAs.