The stronger macro returns were based on the strong dollar decline and selected cross-market opportunities along with the upward movement in stocks around the world.
All hedge fund strategies except for systematic CTA's have moved into positive territory for the year; however, alpha production for the first seven months seems limited relative to broad benchmarks and historical beta exposures.
The true test of hedge fund value may be seen in the next five months. If market indices decline, the expectation is that hedge funds will be able to minimize their beta exposures. If the upward trends continue with further return dispersion, we expect that hedge funds may increase their absolute return and alpha production. Hence, the value of hedge fund will be shown through their ability to provide diversification benefit in both up and down markets.