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As inflationary pressures continued to build and employment markets remained tight, global financial markets gained for October and recovered most of the prior month declines. Global equity market gains were led by US large caps; Energy & Commodity-sensitive led sector gains; European equity gains were led by France, Italy and the Netherlands, while Asian equities were mixed. US interest rates increased by shorter and mid-duration maturities, while longer dated yields declined as the yield curve flattened. The US Dollar was mixed, gaining against the Euro & Japanese Yen, while falling against the British Pound & Swiss Franc. Commodity gains were again led by Oil which spiked higher, Copper & Silver led gains in Metals, while gains in Wheat & Cotton were offset by declines in Lean Hogs. Hedge Funds posted gains with the HFRX Global Hedge Fund Index and the HFRX Market Directional Index gaining +0.90% and +2.54%, respectively.
HFRX Equity Hedge Index posted a gain of +2.16% for October, from gains in Fundamental Growth and Value strategies which were only partially offset by declines in Market Neutral strategies. The HFRX Fundamental Growth Index posted a gain of +3.33% from gains in exposure to US small-cap and Emerging Markets equities. The HFRX Fundamental Value Index gained +1.84% from exposure to large-cap US & European equities. The HFRX Market Neutral Index declined -1.20% for the month from declines in mean reverting, factor-based strategies and fundamental managers.
HFRX Macro/CTA Index posted a gain of +1.05% for October, from gains in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index posted a gain of +2.10% as the US Dollar was mixed against other currencies; Oil, Copper, Silver and Platinum posted gains while Agricultural commodities were mixed for the period. Macro Discretionary managers posted mixed performance from exposure to opportunistic Fixed-Income and global multi-asset strategies.
HFRX Event Driven Index posted a gain of +0.37% for October, with gains in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Special Situations Index posted a gain of +0.39% from gains in exposure to global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index gained +0.16% as activity in global M&A deals continued.
HFRX Relative Value Arbitrage Index posted a decline of -0.14% for October from declines in Multi-Strategy managers only partially offset by gains in Convertible Arbitrage strategies. The HFRX Convertible Arbitrage Index posted a gain of +0.91% as volatility remained low during the period while yields increased. The HFRX RV: Multi-Strategy Index posted a decline of -0.24% as interest rates increased during the month.
Comments reference performance figures as of October 29, 2021