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October 2021 was marked by a rising stock market, but also rising short-term interest rates, which resulted in risk-off behavior from most Bank Systemic Risk Premia strategies. In Equities, Equity Volatility and Equity Momentum gained +0.58% and +0.29% MTD (+8.96% and +23.34% YTD) respectively. In Rates, Rates Momentum and Volatility declined -1.09% and -2.46% MTD (-10.31% and +15.12% YTD). In Commodities, Carry gained +0.13% while and Momentum declined -1.91% MTD (+21.98% and +28.44% YTD respectively) as the petroleum sector rallied, while other commodities remained in trading ranges. In Currencies, Momentum gained +2.40% MTD (-14.38% YTD) from large trends in Japanese Yen and other currencies, but Currency Carry declined -3.33% MTD (+7.17% YTD) in keeping with a risk-off environment.
Comments reference performance figures as of October 29, 2021