HFR BSRP Indices Commentary Mid-March 2020

03/13/2020 Performance Notes

Financial markets posted steep losses through mid-March as volatility soared as a result of the coronavirus contagion. Global equities posted steep losses with many indices falling into bear market by eclipsing 20% corrections. Interest rates plunged to record lows on panic flight to quality, as global central banks cut rates and engaged largest QE since 2008. Energy commodity prices also posted steep declines as a result of weakening demand as well as output dispute among OPEC members. Currencies saw implied volatilities soar, with flight to quality driving gains in the US Dollar against the British Pound and most Emerging Markets currencies but falling through mid-month against the Swiss Franc and Euro. 
March 2020 will be remembered as the perfect storm of exogenous shocks: the COVID-19 pandemic and the Saudi-Russian oil price war. These have resulted in an extreme risk-off environment where risk assets and strategies suffering outlier losses and defensive assets enjoy outlier gains. Accordingly, HFR Bank Systematic Risk Premia Multi-Asset Index is down -16.91% MTD. Also, the HFR BSRP Credit Index declined -14.93% as credit spreads widened and central bank cut rates to historic lows. 
On the upside, HFR Bank Systematic Risk Premia Rates Value and HFR BSRP Rates Momentum Indices are up 10.96% and 9.88% MTD (7.58% and 21.04% YTD) respectively. While the HFR Bank Systematic Risk Premia Currency Momentum Index is up 9.87% MTD; 8.82% YTD. 
Comments reference performance figures as of March 13, 2020