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Global financial markets gained through mid-February as US election primaries began, the contagion and uncertainty of the coronavirus spread and US electric automaker Telsa surged to a record. US equities gained led by the Nasdaq & technology exposures; Italy, Germany and the Netherlands led European gains while Hong Kong and Korea led Asian advances. US interest rates increases as the US Dollar gained against the Pound, Euro, Swiss Franc and Japanese Yen. Commodities posted mixed results with gains led by Copper and Lean Hogs offset by declines in Wheat & Silver.
The returns for the Bank Systematic Risk Premia indices through mid-February 2020 have been primarily driven by trends in equity indices, the dollar index, and risk assets in general. Leading the way is the HFR Bank Systematic Risk Premia Multi-Asset Momentum Index, which has benefited from trends in equity indices, gaining +7.85% MTD and 14.20% YTD. Similarly, HFR BSRP Equity Momentum Index gained +6.28% MTD, +7.95% YTD. HFR BSRP Currency Carry Index – a “risk on” strategy – is also having a strong month gaining +6.51% MTD. Conversely, the HFR BSRP Rates Momentum Index and the HFR BSRP Commodity Momentum Index declined -2.73% and -2.66% MTD respectively, as bonds and commodities reversed their recent trends.
The new HFR Asset Manager Risk Premia Index gained +0.7 percent through mid-February, led by Credit, Currency and Multi-Asset exposures.
Comments reference performance figures as of February 14, 2020