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Global financial markets declined in January to begin 2022 driven by concerns about rising inflation and interest rate increases by US Federal Reserve. Global equity market declines were led by US equities, with steepest declines across Technology, Cyclicals and Healthcare, which were only partially offset by gains in Energy. US interest rates increased across all maturities with shorter dated yields rising relative to longer as the yield curve flattened, the US dollar gained against most currencies. Commodities gains were led by surges in Natural Gas & Oil, Aluminum led gains in Metals while Cotton and Soybeans led Agricultural gains. Hedge Funds and Risk Premia indices posted declines with the HFRX Global Hedge Fund declining -1.47% for the month.
HFRX Event Driven Index posted a decline of -0.75% for January with declines in Special Situations and Merger Arbitrage strategies. The HFRX Special Situations Index posted a decline of -0.74% for the month from declines in exposure to global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index posted a decline of -0.88% as global equities declined across geographies and sectors.
HFRX Relative Value Arbitrage Index posted a decline of -1.30% for January from declines in Multi-Strategy managers and Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index posted a decline of -1.21% as interest rates increased during the month. The HFRX Convertible Arbitrage Index posted a decline of -2.21% as volatility increased during the period while yields rose.
HFRX Macro/CTA Index posted a decline of -1.74% for January from declines in Global Discretionary and Systematic trend-following managers. Macro Discretionary managers posted declines from exposure to opportunistic Fixed-Income and global multi-asset strategies. The HFRX Macro Systematic/CTA Index posted a decline of -0.45% as the US Dollar gained against other currencies; Oil and Gas posted gains, most Agricultural commodities also gained for the period, while Metals were mixed.
HFRX Equity Hedge Index posted a decline of -2.12% for January from gains in Market Neutral managers that were offset by declines in Fundamental Growth and Value strategies. The HFRX Market Neutral Index gained +0.48% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Value Index declined -1.53% for the month from declines in exposure to large-cap US & European equities. The HFRX Fundamental Growth Index posted a decline of -3.65% for the month from declines concentrated in small-cap US and European equities.
Comments reference performance figures as of January 31, 2022