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Global financial markets gained in March, extending the prior month gains despite rising bond yields and expectation for inflation. Equity markets posted gains across most sectors & regions, led by US large caps including Non-Cyclicals, Financials & Telecom, while regional gains were led by Germany, Italy & France. US interest rates increased on expectations for economic growth in 2H21, while the US Dollar strengthened against most currencies. Commodities posted mixed performance with declines led by Oil, Silver & Sugar, which were offset by gains in Aluminum. Hedge Fund and Risk Premia strategies posted gains for the month.
March 2021 was a classic risk-on month where risk-seeking strategies delivered strong performance. The HFR BRSP Currency Carry Index gained +7.14% on the month, leaving it up 9.84% YTD. The HFR BSRP Currency Volatility Index and Equity Volatility Index were up 5.76% and 4.54% respectively (8.40% and 5.72% YTD).
Also in keeping with risk-on behavior, bond yields increased, yield curves steepened, and commodity and currency prices fluctuated, which resulted in HFR BSRP Rates Carry Index declining -2.23% on the month (-15.59% YTD). HFR BSRP Commodity Momentum and HFR BSRP Currency Momentum Indices also declined -1.16% and -1.17% respectively (11.62% and -3.31% YTD).
Comments reference performance figures as of March 31, 2021