HFRI-I Liquid Alternative UCITS Indices: February 2020 Performance Notes

02/28/2020 Performance Notes

Global financial markets posted steep losses in February driven by uncertainty regarding the contagion of the coronavirus; US equities posted sharp losses across all indices, sectors and regions Interest rates plunged to record lows on flight to quality, while investors also positioned for additional central bank stimulus measures. Energy commodities posted sharp losses on expectations for reduced demand, while metals commodities were mixed on flight to quality, The US dollar fell against the Japanese yen, but climbed against most Emerging Markets currencies, British Pound Sterling, Euro and Swiss Franc. UCITS compliant hedge funds declined in February with the HFRI-I Liquid Alternative UCITS Index posting a decline of -1.90%.

HFRI-I Equity Hedge Index declined -2.55% in February

HFRI-I Event Driven Index posted a decline of -2.00%

HFRI-I Macro Index declined -1.14% in January

HFRI-I Relative Value Arbitrage Index declined -1.35%

Comments reference performance as of February 28, 2020