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Flash Report August 2023

Based on our daily indices, August likely saw positive returns for Event-Driven (+0.8%) and Market Neutral (+1.2%) strategies. Equity Long/Short lost 1.0% and CTAs struggled to find profitable trends, recording a decline of 0.9%. Event-driven and market-neutral strategies performed well in a relatively uneventful August, dominated by low market volumes and a lack of significant market-moving drivers. Despite positive developments on the ETF side for Crypto Managers, the NilssonHedge Crypto Index noted a loss of 12.3%. This was the largest loss year-to-date for our index.

Other significant market developments were:

  • August was a month with modest risk-off drivers. We saw the first equity market decline (the S&P 500 and the Nasdaq were negative) since February 2023 and US yields continued to climb higher.
  • During the annual Central Bank gathering in Jackson Hole, the Fed confirmed that they would be “data dependent”, but was leaning towards either holding steady or tightening further.
  • The odds of seeing further rate hikes decreased, and the Fed Fund market sees a probability of 40% for a rate hike into the year-end.
  • China’s equity market declined, reflecting a slowdown in the economy and several European countries entered recessions.

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