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Global financial markets posted mixed performance in January, as early month gains on resolution of the US political transition were reversed through volatile trading dominated by strong retail demand in deep value equities. Technology & small cap led US gains while large cap & cyclicals led declines; by regions France & Germany led declines while Asian markets were also mixed. US rates increased on expectations for more stimulus borrowing, while the US dollar gained vs most major currencies. Oil again led commodity gains, Metals were mixed while Corn & Soybeans led commodity gains. Hedge Funds and Risk Premia indices posted mixed performance with the HFRX Global Hedge Fund Index posting a narrow decline of -0.16%, while the HFRX Equal Weighted Strategies Index gained +0.44% for January.
HFRX Event Driven Index posted a gain of +0.62% for January, from gains in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +2.03% from continued activity in global M&A. The HFRX Special Situations Index posted a gain of +0.53% from gains in exposure to Asian and Global catalyst-driven, fundamental value equities.
HFRX Relative Value Arbitrage Index posted a gain of +0.32% for January from gains in Convertible Arbitrage and Multi-Strategy managers. The HFRX Convertible Arbitrage Index posted a gain of +1.08%, as US interest rates climbed and volatility increased during the month. The HFRX RV: Multi-Strategy Index posted a gain of +0.25% for the month as the yields increased during the month.
HFRX Macro/CTA Index posted a decline of -0.58% for January, from declines in Global Discretionary and Systematic strategies. Macro Discretionary managers posted declines from exposure to opportunistic Fixed-Income, multi-asset and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a decline of -0.64% as the US Dollar gained against other currencies while Energy, Copper, Silver and most Agricultural commodities posted gains.
HFRX Equity Hedge Index posted a decline of -1.04% for January, from gains in Market Neutral managers which were offset by declines in Fundamental strategies. The HFRX Market Neutral Index gained +0.99% for the month from gains in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Growth Index posted a narrow decline of -0.06% from mixed performance in exposure to Emerging Markets and small-cap US and global equities. The HFRX Fundamental Value Index posted a decline of -1.84% from declines in exposure to large-cap US & European equities.
Comments reference performance figures for January 29, 2021