HFR BSRP Indices Commentary April 2022

04/29/2022 Performance Notes

In April, global financial markets posted steep declines driven by concerns regarding inflation, higher interest rates, and the ongoing military conflict in Ukraine. Most US equity indices posted the worst month since the beginning of the global coronavirus pandemic, while the Nasdaq posted the worst monthly decline since 2008. US equity markets declines were led by Technology, Semiconductors, and Telecom; European & Asian equities posted more narrow declines. US interest rates rose as generational inflation continued to accelerate, and the US Federal Reserve communicated expectations for multiple rate increases for 2022; the US yield curve oscillated between a normal and inverted shape throughout the month. The US Dollar gained against most currencies posting a significant gain against the Japanese Yen, with the Bank of Japan indicating continued low interest rates. Energy once again led commodity gains, with Natural Gas spiking on supply constraints while Oil also extended gains; Metals declines were led by Aluminum & Silver while Agricultural gains were led by Cotton & Corn.
The performance of HFR Bank Systematic Risk Premia Indices in April was driven by concerns about inflation and the war in Ukraine, which has led to rising interest rates, a rising USD, and rising commodity prices. HFR BSRP Indices responded as could be expected given the market conditions. In Commodities, Momentum gained +9.82% MTD (+23.37% YTD) as trends continued across the spectrum, most notably in Natural Gas and Corn. In Currencies, Momentum gained +9.72% MTD (+12.50% YTD) as the US Dollar rallied against all the major currencies. In Rates, Momentum increased +7.43% MTD (+38.17% YTD) as both long and short interest rates continued their rise. As expected in a ‘risk-off’ environment, Credit Carry declined -10.64% MTD (-14.55% YTD), and Equity Volatility declined -2.99% (-11.90% YTD).