HFR BSRP Indices Commentary December 2020

12/31/2020 Performance Notes

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.
December marked the end of a year which encompassed a lifetime of market conditions for the HFR Bank Systematic Risk Premia Indices. Commodities continued to be the star performer with the HFR BSRP Commodity Momentum and Commodity Carry indices gaining +6.08% and +5.57% in December respectively (+25.53% and +35.14% for 2020), as trends and steep contango continued in energies, metals, and agriculturals. Multi-Asset Momentum also benefited from those commodity trends, as well as trends in stock indices and currencies, resulting in a +5.93% gain in December (-2.03% year end 2020). Conversely, Rates Momentum gave back some gains in December, declining -0.62% for the month (+12.74% YTD 2020), while Commodity Value declined -0.73% for the month, but still ended the year gaining an impressive +30.80%.
Comments reference performance figures for December 31, 2020