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Global financial markets declined in September, as interest rates increased and efforts to pass a large stimulus bill remained stalled. Global equity markets declined led by Technology, though declines were spread across most sectors and regions. US interest rates increased on expectations for reduction of bond purchases by the US Federal Reserve as signs inflation continued to build, while the US Dollar gained against most currencies. Energy led commodity gains with Natural Gas surging while Oil prices rose; Metals declines were led by Silver & Copper while Agricultural gains were led by Cotton & Lumber.
The commodity sector led the gains in performance of the HFR Bank Systematic Risk Premia Indices in September. Commodity Momentum gained +10.12% MTD, +30.93% YTD as the energy sector rallied and metals declined. Commodity Carry also gained +2.00% MTD, +21.82% YTD.
In keeping with the broad overall decline in equities in September, Equity Momentum was down -4.49% MTD, yet still leaving it with a solid gain of +22.99% YTD. Credit and Currency Carry also suffered from the risk-off market, losing -1.86% and -2.24% MTD (+4.68% and +10.87% YTD) respectively. Rates indices suffered from absolute and relative declines in bonds with Rates Momentum down -1.72% MTD, -9.32% YTD.
Comments reference performance figures as of September 30, 2021