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Investors reduced risk late in November on rising uncertainty regarding the Omicron coronavirus variant causing global financial markets to decline. Global equity markets declined led by small caps and Energy sectors, European declines were led by Germany & Spain while Asian declines were led by Hong Kong & Singapore. Interest rates declined on flight to quality with longer duration yields falling more relative to shorted dated, while the US Dollar was mixed gaining against the British Pound Sterling and Euro though declining against the Swiss Franc & Japanese Yen. Commodity declines were led by Oil & Natural Gas; Metals also declined led by Platinum while Agricultural commodities were mixed with gains in Lumber offset by declines in Cocoa. Hedge Funds and Risk Premia indices posted declines with the HFRX Global Hedge Fund declining -1.29% for the month.
HFRX Relative Value Arbitrage Index posted a decline of -0.76% for November from declines in Multi-Strategy managers and Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index posted a decline of -0.75% as interest rates declined during the month. The HFRX Convertible Arbitrage Index posted a decline of -0.90% as volatility increased during the period while yields rose.
HFRX Event Driven Index posted a decline of -1.03% for November, with declines in Special Situations equity strategies. The HFRX Merger Arbitrage Index was basically unchanged as activity in global M&A deals continued. The HFRX Special Situations Index posted a decline of -1.09% from declines in exposure to global catalyst-driven, fundamental value equities.
HFRX Equity Hedge Index posted a decline of -1.20% for November, from declines in Fundamental Growth and Value strategies. The HFRX Market Neutral Index declined -0.32% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Value Index declined -0.45% from mixed performance from exposure to large-cap US & European equities. The HFRX Fundamental Growth Index posted a decline of -2.70% from declines in exposure to small-cap US, European and Emerging Markets equities.
HFRX Macro/CTA Index posted a decline of -2.72% for November, from declines in Systematic trend-following managers. Macro Discretionary managers posted mixed performance from exposure to opportunistic Fixed-Income and global multi-asset strategies. The HFRX Macro Systematic/CTA Index posted a decline of -4.38% as the US Dollar was mixed against other currencies; Energy and Metals posted declines while Agricultural commodities were mixed for the period.
Comments reference performance figures as of November 30, 2021