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Global financial markets declined in October as European countries imposed additional virus quarantine lockdowns while investors positioned for the US Presidential election. Global equity markets declined led by European equities including France, Germany, Italy & the UK; sector declines were led by Energy, Telecom & Healthcare. US interest rates increased for the month leading into the election, while the US Dollar traded in a wide intramonth range, despite settling little changed for the month. Commodity markets posted mixed performance with gains in Aluminum, Sugar & Natural Gas offset by declines in Oil, Platinum & Lumber. Hedge Funds & Risk Premia strategies posted mixed performance with the HFRX Global Hedge Fund Index posting a narrow decline of -0.22% for the period.
HFRX Relative Value Arbitrage Index posted a gain of +0.36% for October from gains in Multi-Strategy and Convertible Arbitrage managers. The HFRX RV: Multi-Strategy Index posted a gain of +0.39% for the month as yields increased for the month. The HFRX Convertible Arbitrage Index posted a gain of +0.14% for the month as interest rates increased and volatility remained subdued during the period.
HFRX Event Driven Index posted a decline of -0.22% for October from gains in Merger Arbitrage managers which were offset by declines in Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +0.43% as M&A global activity continued. The HFRX Special Situations Index posted a decline of -0.26% from mixed performance in exposure to Global catalyst-driven, fundamental value equities.
HFRX Macro/CTA Index posted a decline of -0.51% for October from declines in Systematic which were partially offset by 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 decline of -0.97% as the US Dollar traded in a wide margin against other currencies and commodities were mixed with declines in Oil, Platinum, Cocoa and Lumber while Natural Gas, Aluminum and Rubber posted gains.
HFRX Equity Hedge Index posted a decline of -0.54% for October, from gains in Fundamental Growth and Market Neutral managers which were offset by Fundamental Value strategies. The HFRX Fundamental Growth Index posted a gain of +1.42% from exposure to Emerging Markets and global equities. The HFRX Market Neutral Index gained +0.54% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Value Index posted a decline of -2.00% from declines in exposure to large-cap US and Japanese equities.
Comments reference performance figures for October 30, 2020