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Global financial markets gained in August, recovering intra-month declines on continued virus variant concerns and increased geopolitical uncertainty associated with instability in Afghanistan. Equity markets gained led by Technology, Healthcare and Financials, with regional gains led by India, China and the Netherlands. Interest rates increased slightly on expectations for US Federal Reserve tapering of bond purchases, while the US Dollar gained against most currencies. Oil led commodity declines on expectations for increased OPEC output, natural gas surged while Metals were mixed; Lumber & Hogs led agricultural declines, which were partially offset by gains in Sugar. Hedge Funds and Risk Premia indices posted gains with the HFRX Global Hedge Fund Index and the HFRX Market Directional Index gaining +0.68% and +2.10%, respectively.
HFRX Equity Hedge Index posted a gain of +1.34% for August, from gains in Fundamental Growth and Value strategies. The HFRX Fundamental Growth Index posted a gain of +2.37% from exposure to Developed and Emerging Markets equities. The HFRX Fundamental Value Index gained +0.93% from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index declined -0.33% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers.
HFRX Event Driven Index posted a gain of +0.62% for August, with gains in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Merger Arbitrage Index gained +0.93% from gains in exposure to global M&A deals. The HFRX Special Situations Index posted a gain of +0.60% from exposure to global catalyst-driven, fundamental value equities.
HFRX Macro/CTA Index posted a gain of +0.41% for August, from gains in Discretionary Thematic and Systematic trend-following managers. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income and global multi-asset strategies. The HFRX Macro Systematic/CTA Index posted a narrow gain of +0.06% as the US Dollar rose against major currencies and Oil, Silver, Copper, Platinum declined while Natural Gas and Aluminum posted gains. Agricultural commodities traded in a wide range with Lumber & Hogs declining sharply and Sugar rising for the period.
HFRX Relative Value Arbitrage Index posted a gain of +0.13% for August from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Convertible Arbitrage Index posted a gain of +0.36% as volatility remained low during the period and yields increased slightly. The HFRX RV: Multi-Strategy Index posted a gain of +0.11% for the month as US and Global yields increased narrowly during the month.
Comments reference performance figures as of August 31, 2021