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Global financial markets posted mixed performance in January, as early month gains on resolution of the US political transition were reversed through volatile trading dominated by strong retail demand in deep value equities. Technology & small cap led US gains while large cap & cyclicals led declines; by regions France & Germany led declines while Asian markets were also mixed. US rates increased on expectations for more stimulus borrowing, while the US dollar gained vs most major currencies. Oil again led commodity gains, Metals were mixed while Corn & Soybeans led commodity gains.
January was a mixed month for the HFR Bank Systematic Risk Premia Indices. Equity Momentum was the top performer, gaining +12.37% for the month. In rates, Rates Momentum was down -1.24% as bonds declined early in the month only to rally back as equities rolled over. In commodities, Commodity Momentum and Value were up a strong +4.64% and 2.23% respectively, driven by petroleum and agricultural commodities. Finally, in currencies, Currency Carry was up 1.79% as high-yielders such as the Australian and New Zealand Dollars benefited from the strong commodity rally, but Currency Momentum as down -2.95% as a number of currency trends reversed.
Comments reference performance figures for January 29, 2021