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Global financial markets extended gains in December to conclude a strong and volatile 2020, as investors focused on continued rising coronavirus cases, rollout of several vaccines and the resolution of the US senate election; cryptocurrencies extend the recent surge. US equities gained led by small caps, while Technology, Energy and Cyclical sectors all led gains; European & Asian equities also gained. US interest rates increased while European rates were little changed; the US Dollar fell against most currencies led by the Euro, British Pound Sterling and Swiss Franc. Oil led commodity gains while Metals were led by Platinum & Silver; Wheat, Lumber & Corn all surged in Agricultural commodities. Hedge Funds and Risk Premia indices posted gains to conclude a strong 2020 with the HFRX Global Hedge Fund Index posting a gain of +2.45% in December and +6.81% for 2020, its second best yearly return since 2009, while the HFRX Market Directional Index posted a gain of +4.29% and +8.99% for the year.
HFRX Equity Hedge Index posted a gain of +3.60% for December, +4.60% for 2020, from gains in Fundamental strategies and Market Neutral managers. The HFRX Fundamental Growth Index posted a gain of +6.79%, +3.35% YTD, from exposure to Emerging Markets and small-cap US and global equities. The HFRX Fundamental Value Index posted a gain of +2.12%, +4.60% YTD, from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index gained +0.28% for the month, -3.92% YTD, from gains in mean reverting, factor-based strategies and fundamental managers.
HFRX Macro/CTA Index posted a gain of +2.97% for December, +4.29% for the year, from gains in Global Discretionary and Systematic strategies. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income, multi-asset and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a gain of +3.95%, +1.84% YTD, as the US Dollar continued its weakness against other currencies while most commodities posted gains.
HFRX Event Driven Index posted a gain of +2.18% for December, +8.89% for 2020, from gains in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +1.78%, +4.44% YTD, its best yearly return in 5 years, as M&A global activity continued at an increased pace. The HFRX Special Situations Index posted a gain of +2.20% and +9.22% YTD, its best yearly performance since 2013, from gains in exposure to Asian and Global catalyst-driven, fundamental value equities.
HFRX Relative Value Arbitrage Index posted a gain of +1.13% for December, +8.14% for the year, its best yearly performance since 2009, from gains in Convertible Arbitrage and Multi-Strategy managers. The HFRX Convertible Arbitrage Index posted a gain of +2.19%, +15.72% YTD, also its best yearly performance since 2009 and the second best since inception of the index, as US interest rates climbed and volatility increased during the month. The HFRX RV: Multi-Strategy Index posted a gain of +1.04% for the month and +7.48% YTD, its best yearly performance since 2010, as the yield curve steepened during the month.
Comments reference performance figures for December 31, 2020
Global financial markets extended gains in December to conclude a strong and volatile 2020, as investors focused on continued rising coronavirus cases, rollout of several vaccines and the resolution of the US senate election; cryptocurrencies extend the recent surge. US equities gained led by small caps, while Technology, Energy and Cyclical sectors all led gains; European & Asian equities also gained. US interest rates increased while European rates were little changed; the US Dollar fell against most currencies led by the Euro, British Pound Sterling and Swiss Franc. Oil led commodity gains while Metals were led by Platinum & Silver; Wheat, Lumber & Corn all surged in Agricultural commodities. Hedge Funds and Risk Premia indices posted gains to conclude a strong 2020 with the HFRX Global Hedge Fund Index posting a gain of +2.45% in December and +6.81% for 2020, its second best yearly return since 2009, while the HFRX Market Directional Index posted a gain of +4.29% and +8.99% for the year.
HFRX Equity Hedge Index posted a gain of +3.60% for December, +4.60% for 2020, from gains in Fundamental strategies and Market Neutral managers. The HFRX Fundamental Growth Index posted a gain of +6.79%, +3.35% YTD, from exposure to Emerging Markets and small-cap US and global equities. The HFRX Fundamental Value Index posted a gain of +2.12%, +4.60% YTD, from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index gained +0.28% for the month, -3.92% YTD, from gains in mean reverting, factor-based strategies and fundamental managers.
HFRX Macro/CTA Index posted a gain of +2.97% for December, +4.29% for the year, from gains in Global Discretionary and Systematic strategies. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income, multi-asset and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a gain of +3.95%, +1.84% YTD, as the US Dollar continued its weakness against other currencies while most commodities posted gains.
HFRX Event Driven Index posted a gain of +2.18% for December, +8.89% for 2020, from gains in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +1.78%, +4.44% YTD, its best yearly return in 5 years, as M&A global activity continued at an increased pace. The HFRX Special Situations Index posted a gain of +2.20% and +9.22% YTD, its best yearly performance since 2013, from gains in exposure to Asian and Global catalyst-driven, fundamental value equities.
HFRX Relative Value Arbitrage Index posted a gain of +1.13% for December, +8.14% for the year, its best yearly performance since 2009, from gains in Convertible Arbitrage and Multi-Strategy managers. The HFRX Convertible Arbitrage Index posted a gain of +2.19%, +15.72% YTD, also its best yearly performance since 2009 and the second best since inception of the index, as US interest rates climbed and volatility increased during the month. The HFRX RV: Multi-Strategy Index posted a gain of +1.04% for the month and +7.48% YTD, its best yearly performance since 2010, as the yield curve steepened during the month.
Comments reference performance figures for December 31, 2020