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In February, global equity markets posted declines as geopolitical tensions increased sharply because of the Russian military invasion of Ukraine and global inflationary pressures continuing to mount. Equity market declines were led by Large-cap & Technology, while developed market regional declines were led by Germany & France. Russian equity markets lost one-third of their value before the Russian stock exchange was closed. Interest rates fell into month-end on flight-to-quality and global financial sanctions imposed on Russia, although rates ended the month slightly higher as a result of increases early in the month. The US Dollar was little changed for the month, but the Russian Ruble plunged by one-third in value due to imposed sanctions. Commodities surged led by Oil, Aluminum, and Silver; Agricultural Commodity gains were led by Lumber & Wheat.
The returns in February 2022 for Bank Systematic Risk Premia Indices were driven primarily by the Russian invasion of Ukraine. In commodities, Commodity Momentum and Carry gained +5.03% and +2.16% MTD (+7.36% and -2.17% YTD, respectively) driven by extreme trends in crude oil and agricultural commodities due to fears of supply disruptions from Ukraine and Russia. In a flight to safety, Rates Momentum gained +5.62% MTD (+15.11% YTD). 
Risk-seeking strategies were a mixed bag. As would be expected, Credit Carry declined -3.86% MTD (-8.40% YTD), while Currency Carry was gained +1.17% MTD (+2.96% YTD) as commodity-sensitive high-yielding currencies outperformed.
Comments reference performance figures as of February 28, 2021