HFR BSRP Indices Commentary April 2020

04/30/2020 Performance Notes

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.
“Risk-On” Bank Systematic Risk Premia Strategies gained in April in line with strong gains in global markets. Most notably, the HFR Bank Systematic Risk Premia Commodity Carry Index was up +9.61% on the month; +33.67% YTD as petroleum markets went into “super contango”. The HFR BSRP Rates Carry Index also had a strong month at +4.29%; +16.08% YTD. On the other side, HFR BSRP Currency Index and the HFR BSRO Rates Momentum Index suffered as trends reversed, losing -3.60% and -1.07% on the month, leaving them still up +14.26% and +15.59% YTD respectively.
Comments reference performance figures as of April 30, 2020