USD August Market Performance

Noteworthy Developments

Equity markets (MSCI ACWI Index) declined by 2.8% in USD during August. Declines were widespread across all major regions and style factors.

Global Equities

Global equities were down 2.8% with widespread declines across major regions. The S&P 500 was down 1.7%. Declines were higher during most of the month as Treasury yields continued to appreciate given increased Treasury 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 3.8% as Eurozone macroeconomic data continued to weaken, especially in Germany. Emerging market equities (MSCI EM Index) were down 6.2% with weak performance driven by the 9.0% declines in Chinese equities following weak Chinese economic data coupled with investor skepticism regarding potential government stimulus. Globally, growth and value stocks declined by 2.5% and 3.1% respectively. Globally, the energy sector performed best and was up 1.2% with financials down 4.0%.

Fixed Income

The benchmark US-Aggregate Bond index was down 0.6% on the month. As interest rates increased slightly during the month, US Treasuries (65% of the benchmark) were down 0.5% and investment-grade corporate credit (roughly 25% of the index) was down 0.8%. Riskier credit performed better with high yield bonds up 0.3% and leveraged loans up 1.2%. Both high yield bonds and leveraged loans benefited from high current yields although high-yield bonds were hurt by modestly rising rates.

Alternatives

The HFRX Global Hedge Fund Index was up 0.3% for the month. Merger-arbitrage strategies and event-driven strategies were up 1.3% and 1.1% respectively while convertible arbitrage strategies were down 1.0%.

Commentary

Carlson: +1.2% in USD

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

Carrhae: -6.7% in USD

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

Octagon: +1.5%

Strong performance driven by high underlying coupons on floating-rate loans as well as through utilization of fund-level leverage.

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