PAM MFSP Weekly Update – 17 July 2026

Performance Overview

As of 17 July 2026, MFSP A and B posted weekly performances of -7.91% and -7.91%, respectively. Month-to-date returns stood at -13.03% and -13.17%, while year-to-date returns 6.02% and 4.85%.

Foreign Exchange: Currency positions encountered severe reversals that significantly dragged down portfolio performance. The primary detractor across the sector was a long position in the Usd/korean won, which suffered a sharp pullback. Short tracking in commodity currencies also faced headwinds, as short positions in the New zealand dollar / usd and Canadian dollar / usd weighed on returns. Conversely, a short position in the Euro/sterling (imm) provided a minor positive buffer.

Agriculturals: The agricultural sector suffered broad, intense selling pressure, making it the primary detractor from weekly performance. In grains, short positions backfired substantially amid a sharp market squeeze, leading to heavy losses in Chicago soft red winter wheat, Kc hard red winter wheat, Corn, Milling wheat, and Soybean meal. The livestock also experienced steep drawdowns, with longs in Live cattle and Feeder cattle shedding, respectively.

Energy: The energy sector maintained positive momentum, offering valuable diversification benefits. Systematic short in Henry hub natural gas successfully delivered positive return. Furthermore, long allocations in Nordic base yearly (enext) and Ny harbor ulsd generated steady positive returns.

Interest Rates: The interest rates sector provided a steady structural buffer. Short positions in Asia-Pacific sovereign debt performed well, led by a short position in the Korean 10-yr tbond.

Equities: A short position in the Kosdaq 150 performed effectively, however stocks amid U.S. and Taiwan posed significant losses during the turmoil.