HFR BSRP Indices Commentary January 2020

01/31/2020 Performance Notes

Global financial markets declined in January surrendering intra-month gains into month end as concerns about the spread of coronavirus drove a volatility increase into month end. Equities posted declines led by Chinese equities and Energy exposures; European equities also declined while US equities surrendered intra-month gains into month end. US interest rates declined on flight to quality despite the Federal Reserve leaving rates unchanged, while the US Dollar advanced against most other currencies. Commodity declines were led by steep declines in Oil & Natural Gas, Metals commodities were mixed as Gold gained, while Agricultural commodity declines were led by steep losses in Coffee & Hogs. Hedge fund and Risk premia strategies posted mixed performance in January. 
Bank Systematic Risk Premia returns were driven by market fears of a global slowdown caused by pandemic. Accordingly, there were significant moves across all asset classes. HFR Bank Systematic Risk Premia Multi-Asset Momentum Index captured these trends, returning +5.88% for the month. With the flight-to-safety rally in sovereign debt, HFR Bank Systematic Risk Premia Rates Carry Index also delivered a strong +5.43% return in January. 
On the other side, HFR Bank Systematic Risk Premia Credit Carry Index declined as spreads widened, returning -4.88%. The HFR Bank Systematic Risk Premia Currency Momentum Index posted a decline of -7.23% as commodity-driven currencies (AUD, NZD, CAD) suffered sharp trend reversals.
Comments reference performance figures as of January 31, 2020