CAD August Market Performance

Noteworthy Developments

Equity markets (MSCI ACWI Index) declined by 0.5% in CAD during August (-2.8% in USD). Declines were widespread in USD across all major regions and style factors. The CAD depreciated by 2.4% vs. the USD during the month.

Global Equities

Global equities were down 0.5% in CAD (-2.8% in USD) with widespread declines across major regions in USD. The S&P 500 was up 0.7% in CAD and down 1.7% in USD. Declines in USD were higher for most of the month as US Treasury yields continued to appreciate given increased Treasury bond issuance while European and China macro data continued to weaken. However, the index rallied during the last week of the month as inflation and labor market data showed continued cooling. International developed stocks (MSCI EAFE Index) were down 1.5% in CAD (-3.8% in USD) as Eurozone macroeconomic data continued to weaken, especially in Germany. Emerging market equities (MSCI EM Index) were down 3.9% in CAD (-6.2% in USD) with weak performance driven by the 6.8% CAD declines (-9.0% USD) in Chinese equities following weak Chinese economic data coupled with investor skepticism regarding potential government stimulus. Globally, growth and value stocks declined by 0.2% and 0.6% in CAD (-2.5% and -3.1% in USD) respectively. Globally, the energy sector performed best and was up 3.7% in CAD (+1.2% in USD) with financials down 1.7% in CAD (-4.0% in USD).

Fixed Income

The benchmark ICE BOFA Canada Broad Market Index was down 0.2% in CAD with government, provincial, and corporate bonds flat to down 0.4% due to slight increases in interest rates.

Alternatives

The HFRX Global Hedge Fund Index was up 2.8% in CAD (+0.3% in USD) for the month. Merger-arbitrage strategies and event-driven strategies were up 3.8% and 3.6% in CAD (+1.3% and +1.1% in USD) respectively while convertible arbitrage strategies were up 1.5% in CAD (but down 1.0% in USD).

Commentary

Carlson: +3.7% in CAD (+1.2% in USD)

Unusually high monthly return driven by certain deal closures and general M&A spread compression.

Carrhae: -4.4% in CAD (-6.7% in USD)

Generally performed in-line with MSCI EM index (-3.9% in CAD and -6.2% in USD) with China positions dragging down absolute performance.

Octagon: +3.9% in CAD (+1.5% in USD)

Strong performance driven by high underlying coupons on floating-rate notes coupled with fund-level utilization of leverage.