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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. Hedge Funds and Risk Premia indices posted gains in February with the HFRX Global Hedge Fund Index gaining +1.52%, while the HFRX Market Directional Index gained +2.57% for the month.
HFRX Equity Hedge Index posted a gain of +2.84% for February, from gains in Fundamental strategies and Market Neutral managers. The HFRX Fundamental Growth Index posted a gain of +5.97% from performance led by exposure to Emerging Markets with concentration in Asia and small-cap US and global equities. The HFRX Fundamental Value Index gained +1.32% from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index gained +0.22% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers.
HFRX Event Driven Index gained +1.33% for February, from gains in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Special Situations Index posted a gain of +1.35% from gains in exposure to Asian and Global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index gained +1.02% from exposure to Technology, Healthcare and Consumer Cyclical as activity in global M&A continued.
HFRX Macro/CTA Index posted a gain of +1.29% for February, from gains in Systematic trend-following managers which were partially offset by declines in Global Discretionary strategies. The HFRX Macro Systematic/CTA Index posted a gain of 2.96% as the US Dollar gained against most major currencies but declined against the British Pound; Energy, Copper, Platinum and Aluminum rose while Gold declined and most Agricultural commodities posted gains. Macro Discretionary managers posted declines for the period from exposure to opportunistic Fixed-Income, currency and multi-asset strategies.
HFRX Relative Value Arbitrage Index gained +0.41% for February from gains in Convertible Arbitrage and Multi-Strategy managers. The HFRX Convertible Arbitrage Index posted a gain of +1.44%, as US interest rates climbed and volatility gained after intra-month decreases. The HFRX RV: Multi-Strategy Index posted a gain of +0.32% for the month as global yields increased during the month.
Comments reference performance figures for February 26, 2021