HFRX Indices August 2023 Performance Notes

08/31/2023 Performance Notes

In August, global financial markets posted declines following two strong months of performance. Interest rates increased, and inflation data remained elevated but moderated from the historic levels seen in 2Q23. Cyclicals, Semiconductors, and Commodity sensitive areas led equity market declines; Hong Kong, Singapore, Germany, and the Netherlands led regional declines. US interest rates increased led by longer dated maturities as the yield curve steepened; the US dollar fell sharply against the Swiss Franc and British Pound, however, the US Dollar surged against the Japanese Yen. Commodities posted mixed performance with Oil and Natural Gas leading Energy gains; Aluminum and Copper led Metal declines while Wheat and Hogs led Agricultural declines.
Hedge Funds posted gains for the month led by Event Driven and Equity Hedge strategies with the HFRX Even Driven Index gaining +1.10%, and the HFRX Global Hedge Fund Index gaining +0.33% for the month.
HFRX Event Driven Index gained +1.10% for the month from gains in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +1.32% in August as activity in global M&A deals continued through the month. The HFRX Special Situations Index gained +1.08% for the month from exposures to global catalyst-driven, fundamental value equities.
HFRX Equity Hedge Index posted a gain of +0.27% in August from gains in Market Neutral and Fundamental Value strategies partially offset by declines in Fundamental Growth strategies. The HFRX Market Neutral Index gained +0.66% for the month from gains in mean reverting, factor-based strategies and fundamental value managers. The HFRX Fundamental Value Index gained +0.43% from gains in exposure to large-cap US & European equities. The HFRX Fundamental Value Index posted a decline of -0.08% from declines concentrated in small-cap US & European equities.
HFRX Macro/CTA Index declined -0.04% for the month led by declines in systematic trend-following managers. The HFRX Macro Systematic CTA Index declined -0.45% for the month as the US Dollar was mixed against most currencies, declining against the British Pound, Euro, and Swiss Franc. Cocoa led agricultural commodity gains, while Oil led Energy gains and Platinum led Metal gains. Lean Hogs, Wheat, and Corn led commodity declines.
HFRX Relative Value Index posted a decline of -0.15% led by Convertible Arbitrage Strategies and Multi-Strategy managers. The HFRX RV: Multi-Strategy Index declined -0.08% as interest rates increased led by longer dated maturities. The HFRX Convertible Arbitrage Index declined -0.96% as volatility fell in August.

Comments reference performance figures as of August 31, 2023