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Global financial markets gained in February, despite paring intra-month gains into month end as US interest rates & expectations for inflation increased. US equity gains were led by small cap, cyclical and Energy sectors, while global gains were led by France, Italy, Japan & Korea. US interest rates rose as the US Dollar gained against most currencies. Commodity gains were again led by Oil, while Natural Gas, Copper & Platinum also gained; agricultural gains were led by Sugar, Coffee & Hogs.
Risk-seeking and momentum Bank Systematic Risk Premia strategies were the best performers in February 2021. In particular, Commodity Momentum performed well (+7.92% MTD; +12.93% YTD) as uptrends continued in the petroleum complex, industrial metals, and agricultural commodities. In keeping with rising expectations of economic recovery, risk-seeking strategies such as Credit Carry, Equity Volatility, and Currency Carry also performed well (+1.46%, +2.28%, and +0.73% MTD respectively). Choppy market conditions and trend reversals caused losses in rates with Rates Momentum and Rates Volatility declining by-1.83%, -4.24% MTD respectively.
Comments reference performance figures for February 26, 2021