U.S. stock markets set new records in July, with the S&P 500 closing at 6,445 and the Nasdaq 100 at 23,839. The rally was driven by gains in pro-growth and cyclical sectors after a mild inflation report boosted expectations for a 0.25% interest rate cut in September.
However, Goldman Sachs data shows global hedge funds rose only 1.1% during the month. Event-driven strategies, such as merger arbitrage, performed best, while equity long/short managers also saw gains.
Quantitative funds posted losses for the second month in a row. Short-term U.S. market strategies, including statistical arbitrage, were hit the hardest, while longer-term factor-based strategies held up better. Losses were linked to momentum reversals and rallies in heavily shorted U.S. stocks.
Goldman’s analysis suggests quant managers suffered one of their worst drawdowns on record in July before recovering some losses at month-end. Despite the setback, the sector’s year-to-date returns remain positive.
