July 2024

Flattish performance for July as the Bank of Japan started to pinch the notable Yen carry trade, triggering reductions in our longstanding exposure and having some spillover onto Swiss Franc and Yuan shorts. In addition to Currencies, Metals also weighed on returns this month as June weakness persisted, to the point that exit levels were triggered leading to a wholesale long position cleanse. The remaining asset classes compensated, with our short Agriculturals finally paying off as price weakness spread within the sector. Broad equity markets continued to rise with a sharp rotation from growth to value occurring. On our trend side this implied that most equity longs closed the month close to respective stop levels, with several bond longs also close to being initiated.