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Global financial markets declined in September as investors focused on upcoming US elections as well as continued challenges to reopening businesses as a result new virus cases. Led by Energy & Financials sectors, global equity markets declined for the months, though pared intra-month declines into month end. US interest rates declined on near term uncertainty and commitment of US Federal Reserve to maintain low rates until inflation targets are reached. The US dollar gained against the British Pound, Euro and Swiss Franc though declined against the Japanese Yen, while commodity declines were led by Oil, Silver & Platinum; agricultural commodities were mixed with gains led by spike in Lean Hogs.
September was an interesting month for the HFR Bank Systematic Risk Premia Indices and was a decidedly “risk-off” month. Rates Momentum gained +2.41% (+15.37% YTD) as expected given market conditions while Rates Volatility unexpectedly gained +7.49% for the month (-3.61% YTD) as bonds remained range bound. Commodity Carry was up +3.71% (+29.78% YTD) as congestion and seasonal behavior dominated those strategies. On the other side, Commodity Momentum declined -3.23% (+9.76% YTD) as energies and metals sold off with equities. Currency Momentum posted a decline of -5.36% (+11.65% YTD) as currency trends reversed.
Comments reference performance figures as of September 30, 2020