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In August, global financial markets fell, reversing early month gains on continued concerns regarding generational inflation, increasing interest rates, and weakening economic growth. Global equity markets posted broad-based declines led by Technology. European declines were led by Germany & France while Asian equities were mixed. Interest rates increased as the Federal Reserve outlined that additional aggressive interest rate increases would likely be required to slow generational inflation; the US dollar gained against most currencies. Commodity declines were led by Oil, Metals, and Hogs, though Natural Gas and Cotton gained.
Hedge Funds posted gains in August led by Event Driven & Macro/CTA Strategies with the HFRX Global Hedge Fund Index gaining +0.95%, while the HFRX Market Directional Index advanced +1.64%.
HFRX Event Driven Index gained +1.66% for August from gains in Special Situations equity strategies and Merger Arbitrager managers. The HFRX Special Situations Index posted a gain of +1.68% from gains in exposure to global, catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index gained +1.38% as activity in global M&A deals continued.
HFRX Macro/CTA Index posted a gain of +1.24% for the month led by gains in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +3.17% for August as the US Dollar gained against most currencies. Commodities were mixed for the month with gains led by Cotton, Natural Gas, & Coffee. Commodities declines were led by Hogs, Metals, and Oil.
HFRX Equity Hedge Index gained +0.75% for August from gains in Fundamental Growth and Value strategies partially offset by declines in Market Neutral strategies. The HFRX Fundamental Growth Index gained +2.27% for the month from gains concentrated in small-cap US, European, and Emerging Markets equites. The HFRX Fundamental Value Index posted a narrow gain of +0.03% from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index declined -0.22% from mixed performance in mean reverting, factor-based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index posted a gain of +0.25% for the month from gains in Multi-Strategy managers as well as Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index gained +0.26% as interest rates increased during the month. The HFRX Convertible Arbitrage Index gained +0.14% as volatility rose in August.
Comments reference performance figures as of August 31, 2022