HFR BSRP Indices Commentary May 2020

05/29/2020 Performance Notes

Global financial markets gained in May led by Energy, small cap and growth sectors, extending the strong recovery from the prior months as businesses began the process of reopening from the coronavirus pandemic quarantine. Energy equities surged as Oil posted record monthly gains in May, small cap, growth, technology and commodity sensitive all gained as risk tolerance continued to increase; regional gains were led by Germany, Japan, Russia and Brazil. Interest rates increased and credit tightened as volatility declined, while the US dollar was mixed, gaining against British Pound Sterling, while little changed against the Euro, Swiss Franc and Japanese Yen. Oil surged to a record monthly gain as strengthening demand and output reductions contributed to WTI gains, while Brent crude also gained; Silver, Platinum, Cattle and Lumber also led commodity gains. Hedge funds and risk premia strategies posted gains in May.
May 2020 was another month of recovery for Bank Systematic Risk Premia strategies as risk assets continued to recover and volatility continued to subside. The most risk-seeking strategies: Credit Carry, Currency Carry, and Equity Volatility indices gained +7.85%, +4.02%, and +1.53% respectively, though still down substantially on the year. On the other side, the HFR BSRP Rates Momentum Index declined -1.13% on the month, but is still up +14.28% YTD. HFR BSRP Commodity Carry and HFR BSRP Momentum Indices declined -6.28% and -5.69% on the month as petroleum markets continued to recover, but YTD performance for both indices is positive, having gained +25.27% and +16.90% respectively.
Comments reference performance figures as of May 29, 2020