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In February, global financial markets gained despite continued geopolitical risk, with gains driven by Technology equities and investors positioning for stronger economic growth in 2024. Technology – specifically AI and Cryptocurrency – led equity market gains for the month, while Japan, China, Italy, and Germany led regional gains. Interest rates increased across all maturities, led by shorter-dated bonds, while the US Dollar gained against most currencies. Natural Gas, Sugar, and Platinum led Commodity declines.
Hedge funds gained in February led by Macro strategies, with the HFRX Global Hedge Fund Index gaining +0.92%.
HFRX Macro/CTA Index gained +2.08% for the month from gains seen in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +3.85% as the US Dollar gained against most currencies in February. Commodities saw mixed performance for the month with Cocoa, Cotton, and Lean Hogs leading gains. Natural Gas, Sugar, and Platinum led commodity declines.
HFRX Equity Hedge Index gained +1.36% in February from gains in Equity Market Neutral strategies as well as Fundamental Growth and Value strategies. The HFRX Fundamental Growth Index gained +2.55% from gains in exposure to small-cap US and European equities. The HFRX Equity Market Neutral Index gained +1.28% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Value Index gained +0.70% for the month from gains concentrated in large-cap US and European equities.
HFRX Event Driven Index gained +0.44% for the month from gains in Special Situations managers offset by declines in Merger Arbitrage strategies. The HFRX Special Situations Index gained +0.49% from gains in exposure to global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index declined -0.22% as global equity markets gained in February.
HFRX Relative Value Index gained +0.18% in February from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +1.11% as volatility declined in February. The HFRX RV: Multi-Strategy Index gained +0.10% as interest rates increased across all maturities in February.
Comments reference performance figures as of February 29, 2024