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Global financial markets surged in April as many countries planned to reopen economies which had been under strict quarantine since early March, while Oil posted steep declines. Global equity markets posted the strongest monthly advance since 1987 led by large cap Technology; equity implied volatility fell sharply while realized volatility remained high. Global equities also gained, led by Germany, the Netherlands and Korea. Oil fell sharply as a supply glut overwhelmed weakening demand resulting in a chaotic and unprecedented futures contract expiration; natural gas & metals commodities gained. Interest rates fell globally as governments enacted broad stimulus measures to offset weakened consumer demand; the US Dollar gained against the Euro, Swiss France & most commodity currencies. Hedge funds posted strong gains with the HFRX Global Hedge Fund Index posting a gain of +2.88% for the period.
HFRX Equity Hedge Index posted a gain of +4.49% for April, from gains across all sub-strategies. The HFRX Fundamental Growth Index posted a gain of +8.27% from exposure to Global and Emerging Markets small cap equities. The HFRX Fundamental Value Index posted a gain of +3.16% from exposure to equities of all capitalizations across developed markets. The HFRX Market Neutral Index declined -0.90% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index posted a gain of +3.00% for April from gains in Convertible Arbitrage and Multi-Strategy managers. The HFRX Convertible Arbitrage Index posted a gain of +4.54% for the month as spread contracted and volatility remained high. The HFRX RV: Multi-Strategy Index posted a gain of +2.87% for the month as spreads contracted from prior month values.
HFRX Event Driven Index posted a gain of +2.73% for April from gains in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Merger Arbitrage Index and the HFRX Special Situations Index posted gains of +5.24% and +2.57%, respectively, as optimism on resuming M&A activity was expected and spreads on existing deals contracted.
HFRX Macro/CTA Index posted a gain of +0.49% for April from gains in Global Discretionary managers with exposure to global Fixed-Income strategies. The HFRX Macro Systematic/CTA Index posted a decline of -0.13% with mixed contributions from equity, long fixed income and commodity positions as Oil concluded the month with large losses, and Metals gained and Agricultural commodities were mixed; the US Dollar strengthened against the Euro, Swiss Franc but declined against the Japanese Yen.
Comments reference performance figures for April 30, 2020