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In November, US equity markets surged, driven primarily by small caps, as investors positioned themselves for the incoming Trump administration and anticipated a broad range of policy changes, including those related to trade, immigration, and government spending. Regional equity markets, however, exhibited mixed performance in response to the election results. Interest rates traded within a wide range but ended the month with a modest decline, despite initially rising on the election outcome and subsequently falling in reaction to newly released economic data. The US dollar strengthened against most major currencies for the month. Commodities showed mixed performance with declines in sugar, silver, and copper offset by gains in natural gas, coffee, and cocoa.

Hedge funds gained for the month with the HFRX Market Directional Index gaining +1.77% and the HFRX Global Hedge Fund Index gaining +0.84%.

HFRX Macro/CTA Index gained +1.47% for the month from gains in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +1.60% as the US dollar gained against most currencies and commodities saw a mixed performance. Sugar, wheat, silver, and copper led commodity declines, while coca, coffee, and natural gas led commodity gains.

HFRX Equity Hedge Index gained +1.33% in November from gains in Fundamental Growth & Value strategies as well as Market Neutral strategies. The HFRX Fundamental Value Index gained +1.50% from gains concentrated in large-cap US and European equities. The HFRX Fundamental Growth Index gained +1.07% from gains in exposure to small-cap US and European equities. The HFRX Market Neutral Index gained +1.04% from gains in mean reverting, factor-based strategies.

HFRX Relative Value Index gained +0.91% for the month from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Fixed Income Convertible Arbitrage Index gained +2.25% for the month as volatility sharply fell through November. The HFRX RV: Multi-Strategy Index gained +0.79% as interest rates ended the month with a moderate decline.

HFRX Event Driven Index declined -0.12% in November from gains in Merger Arbitrage strategies partially offset by declines in Special Situations managers. The HFRX Merger Arbitrage Index gained +0.03% as global equity markets gained in November. The HFRX Special Situations Index declined -0.13% from declines in exposure to global, catalyst-driven fundamental value equities.

Comments reference performance figures as of November 29, 2024