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Global financial markets gained in August, recovering intra-month declines on continued virus variant concerns and increased geopolitical uncertainty associated with instability in Afghanistan. Equity markets gained led by Technology, Healthcare and Financials, with regional gains led by India, China and the Netherlands. Interest rates increased slightly on expectations for US Federal Reserve tapering of bond purchases, while the US Dollar gained against most currencies. Oil led commodity declines on expectations for increased OPEC output, natural gas surged while Metals were mixed; Lumber & Hogs led agricultural declines, which were partially offset by gains in Sugar.
August 2021 was a ‘risk-on’ environment for Bank Systematic Risk Premia indices. The most risk-seeking strategies: Currency Carry, Equity Volatility, and Credit Carry performed well gaining +2.81%, +2.14%, and +1.69% for the month respectively. In commodities, Commodity Momentum and Commodity Carry continued to perform well posting gains of +1.58% and +1.09% MTD (+18.90% and +19.43% YTD) as they benefited from trends in agriculturals and energies.
As might be expected in this environment, Rates strategies suffered. Rates Carry, Momentum, and Value declined -1.29%, -1.04%, and -1.08% in August respectively. Also, Currency Momentum declined -2.54% for the month as major currencies bounced off their lows against the US dollar.
Comments reference performance figures as of August 31, 2021