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The investable HFRI 500 Fund Weighted Composite Index vaulted +4.6 percent for the month, increasing the YTD 2020 return to +5.6 percent. The HFRI Fund Weighted Composite Index soared +6.2 percent in November, the strongest monthly gain since December 1999 and the second-strongest month since index inception in 1990, according to data released today by HFR.

The near-record HFRI gains were driven by Equity Hedge strategies, as global equities soared on positive developments. The HFRI Equity Hedge (Total) Index surged +8.7 percent for the month, the highest monthly gain since February 2000, while the investable HFRI 500 Equity Hedge Index surged +7.5 percent, the strongest month on record. Equity Hedge performance was driven by broad-based gains across diverse EH sub-strategies, with the investable HFRI 500 EH: Fundamental Growth Index soaring +9.9 percent, while the HFRI EH: Fundamental Value Index surged +10.1 percent. The HFRI EH: Quantitative Directional Index jumped +10.6 percent for the month, while the HFRI EH: Multi-Strategy Index advanced +10.3 percent.

Event-Driven strategies also surged in November, with broad-based strategy gains led by Activist, Special Situations, Merger Arbitrage, and Distressed/Restructuring. The HFRI Event-Driven (Total) Index soared +7.6 percent for the month, shattering the previous monthly record of +5.1 percent in April 1999, while the investable HFRI 500 Event-Driven Index jumped +5.9 percent. Shareholder Activist strategies led ED sub-strategy performance, with the investable HFRI 500 ED: Activist Index surging +11.0 percent, while the HFRI ED: Special Situations Index soared +9.8 percent. The investable HFRI 500 ED: Merger Arbitrage Index and the HFRI ED: Distressed Index both jumped +6.7 percent in November.

Blockchain and Cryptocurrency exposures also drove industry gains, as hedge funds continue to increasingly incorporate related exposures into new and existing fund strategies. The HFR Blockchain Index surged +53.4 percent in November, vaulting YTD 2020 performance to +159.2 percent, while the HFR Cryptocurrency Index soared +57.2 percent for the month.

Risk Premia, Risk Parity and Liquid Alternatives produced strong gains in November, led by credit and equity exposures. The HFR Bank Systematic Risk Premia Credit Index surged +40.5 percent for the month, led by Multi-Strategy Credit. The HFR Risk Parity Volatility 12 Institutional Index jumped +8.4 percent in November, bringing the YTD return to +5.6 percent. The HFRI-I Liquid Alternative UCITS Index gained +2.8 percent for the month, led by the HFRI-I UCITS Equity Hedge Index, which advanced +3.9 percent.

The HFRI Relative Value (Total) Index advanced +4.2 percent for the month, while the investable HFRI 500 Relative Value Index gained +3.2 percent. RVA performance was led by the HFRI RV: Yield Alternatives Index surging +20.7 percent, while the investable HFRI 500 RVA: Convertible Arbitrage Index jumped +3.2 percent.

Uncorrelated Macro strategies also gained for the month as equities and cryptocurrencies surged, with the HFRI Macro (Total) Index advancing +1.3 percent while the HFRI 500 Macro Index gained +1.1 percent. Macro sub-strategy performance was led by fundamental strategies, with the HFRI Macro: Discretionary Thematic Index jumping +2.9 percent, while the HFRI Macro: Systematic Diversified/CTA Index gained +1.9 percent.