After losing ground to discretionary funds during the second quarter, it looks like the machines are finally making a comeback.
Hedge Fund Research data show that not only have diversified systematic global macro funds picked up the slack last month, they also surged past their non-computerized cousins as well.
CTAs – with good bets on currencies and commodities – helped HFR’s Systematic Diversified Index climb 2.13% in July, a nearly 6% jump from its -3.49% showing in June, and miles ahead of the discretionary index’s 0.55% performance last month.
The poor performance of growth stocks meanwhile sent HFR’s Fundamental Growth Index down 1.57% – making it the hardest hit group last month – while the directional quants – the only group to beat systematic macro in July – posted a strong 2.3% performance.
Year to date however things are a little different. Four months of negative returns have sent the systematic macro group’s performance down to just +1.52%, while discretionary macro – despite Greece, China, and the Fed – still managed to post a 2.4% gain.
Photo: Nathan Rupert