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Global financial markets surged to record highs in November as uncertainty regarding the US election declined and optimism regarding advancements on coronavirus vaccines accelerated. Global equity markets surged across most regions with strong gains in most sectors led by Cyclicals, Energy and Financials with regional gains across US, UK, France, Italy and Japan. US interest rates declined as the US dollar weakened while cryptocurrencies surged to record highs. Oil & Energy led commodity gains for the month and Platinum, Copper, Cocoa and Soybeans also gained. Hedge Funds & Risk Premia strategies posted gains with the HFRX Global Hedge Fund Index posting a gain of +2.82%, its second largest monthly return since Dec 2010, while the HFRX Market Directional Index posted a gain of +5.83%, its largest monthly return since Feb 2000.
HFRX Equity Hedge Index posted a gain of +4.59% for November, its largest monthly return since Dec 2010, from gains in Fundamental strategies and Market Neutral managers. The HFRX Fundamental Growth Index posted a gain of +6.99%, its second largest return since the index inception, from exposure to Emerging Markets and global equities. The HFRX Fundamental Value Index posted a gain of +3.50% from gains in exposure to Japanese and large-cap US & global equities. The HFRX Market Neutral Index gained +2.30%, its largest monthly return since Nov 2010, from gains in mean reverting, factor-based strategies and fundamental managers.
HFRX Event Driven Index posted a gain of +2.13% for November from gains in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +2.43% as M&A global activity accelerated. The HFRX Special Situations Index posted a gain of +2.12% from gains in exposure to Global catalyst-driven, fundamental value equities.
HFRX Relative Value Arbitrage Index posted a gain of +2.29% for November from gains in Convertible Arbitrage and Multi-Strategy managers. The HFRX Convertible Arbitrage Index posted a gain of +3.98%, its second largest monthly return since Jul 2009, as interest rates and volatility declined during the period. The HFRX RV: Multi-Strategy Index posted a gain of +2.14% for the month as yields declined for the month.
HFRX Macro/CTA Index posted a gain of +1.70% for November from gains in Global Discretionary and Systematic strategies. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a gain of +0.71% as the US Dollar weakened against other currencies while most commodities posted gains.
Comments reference performance figures for November 30, 2020