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Global financial markets extended gains in August led by US technology sector, as investors positioned for continuation of virus pandemic as well as upcoming US election. US equities surged to record highs led Technology, Growth & Cyclicals; European & Asian gained led by Germany & India. Interest rates increased despite US Federal Reserve committed to maintain low interest rates for an extended period of time. The US Dollar declined on expectations of accommodative policy by the Federal Reserve. Commodities gained led by surges in Natural Gas, Silver and Lumber as well as gains in Oil, Corn and Copper. Hedge Funds & Risk Premia strategies posted gains with the HFRX Global Hedge Fund Index posting a gain of +1.54% for the period.
HFRX Equity Hedge Index posted a gain of +2.71% for August, from gains in Fundamental Growth, Fundamental Value and Market Neutral strategies. The HFRX Fundamental Growth Index posted a large gain of +5.13% from gains in exposure to global equities with concentration in Emerging Markets. The HFRX Fundamental Value Index posted a gain of +1.69% from exposure to large-cap equities in Japan and the US. The HFRX Market Neutral Index gained +0.66% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers.
HFRX Event Driven Index posted a gain of +1.63% for August from gains in Special Situations equity strategies. The HFRX Special Situations Index posted a gain of +1.73% from exposure to Global and Asian catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index was basically unchanged as M&A global activity continued and spreads on existing deals contracted.
HFRX Relative Value Arbitrage Index posted a gain of +1.08% for August from gains in Multi-Strategy and Convertible Arbitrage managers. The HFRX Convertible Arbitrage Index posted a gain of +2.97% for the month as interest rates inched up and volatility remained subdued during the period. The HFRX RV: Multi-Strategy Index posted a gain of +0.90% for the month as long-dated bonds moved up while short-dated ones remained basically unchanged.
HFRX Macro/CTA Index posted a gain of +0.36% for August from gains in Global Discretionary strategies. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income and Emerging Markets strategies. The HFRX Macro Systematic/CTA Index posted a narrow decline of -0.07% as the US Dollar declined against most currencies, Oil markets gained, and Metals and Agricultural commodities also posted gains.
Comments reference performance figures for August 31, 2020