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Global financial markets posted steep losses in February driven by uncertainty regarding the contagion of the coronavirus; US equities posted sharp losses across all indices, sectors and regions Interest rates plunged to record lows on flight to quality, while investors also positioned for additional central bank stimulus measures. Energy commodities posted sharp losses on expectations for reduced demand, while metals commodities were mixed on flight to quality, The US dollar fell against the Japanese yen, but climbed against most Emerging Markets currencies, British Pound Sterling, Euro and Swiss Franc. Hedge Funds posted declines in February with the HFRX Absolute Return Index and the HFRX Global Hedge Fund Index declining -0.30% and -1.44% respectively.
HFRX Relative Value Arbitrage Index posted a modest decline of -0.01 percent for February from muted performance of Multi-Strategy and Convertible Arbitrage managers. The HFRX RV: Multi-Strategy Index posted a narrow gain of +0.01 percent for the month from mixed performance in Global Fixed Income strategies. The HFRX Convertible Arbitrage Index posted a modest decline of -0.21% for the month as yields decreased while volatility rose during the period.
HFRX Event Driven Index posted a decline of -0.53% for February from declines in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Merger Arbitrage Index and the HFRX Special Situations Index posted declines of -0.50% and -0.53%, respectively, with declines from exposure to global corporate activity.
HFRX Macro/CTA Index posted a decline of -1.19% for February from declines in Global Discretionary strategies and Systematic trend-following managers. The HFRX Macro Systematic/CTA Index posted a decline of -1.11% for the month as Energy experienced sharp losses, as Metals and most Agricultural commodities also declined; the US Dollar rose against most Emerging Markets currencies, the British Pound Sterling, Euro, Swiss Franc, while declined against the Japanese Yen.
HFRX Equity Hedge Index posted a decline of -3.83% for February, from declines in Fundamental Value and Growth strategies. The HFRX Market Neutral Index declined -0.45% for the month from declines in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Value Index posted a decline of -3.83% from exposure to large-cap equities across developed markets. The HFRX Fundamental Growth Index declined -4.64% for the month, from declines in global Emerging Markets with concentration in MENA and Russia/Eastern Europe.
Comments reference performance figures for February 28, 2020