HFR BSRP Indices Commentary December 2021

12/31/2021 Performance Notes

Global financial markets gained in December to conclude a strong 2021, as Oil surged and equities recovered early intra-month declines from fears of spreading Omicron coronavirus variant. Global equity markets posted strong gains for the month, led by US & European large caps with strength in Energy, Cyclical and Healthcare. US interest rates increased as supply chain shortages continued to drive inflationary pressures, while the US Dollar was mixed, falling against the British Pound, Euro and Swiss Franc, while rising against the Japanese Yen. Commodities also surged led by Oil, Metals gains were led by Aluminum & Copper while Agriculturals were led by Lumber & Soybeans.
December 2021 was quietly a ‘risk-on’ month for Bank Systematic Risk Premia indices. Commodity strategies finished generally positive on the month and very strong overall for the year. Commodity Carry, Value, and Momentum ended the month +4.50%, +1.83%, and -1.04% respectively (+30.98%, +22.68%, and +18.59% YTD) as petroleum markets continued their recovery and agricultural markets continued their uptrends. 
On the other side of the ledger, Rates strategies continued to struggle with Rates Carry declining -3.89% MTD and -29.37% YTD. Currency strategies also suffered with Currency Momentum declining -5.94% and Currency Carry gaining just +0.51% in December, ending the year down -19.37% and -13.10% respectively.
Comments reference performance figures as of December 31, 2021