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

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. UCITS compliant hedge funds declined in January with the HFRI-I Liquid Alternative UCITS Index declining -0.11%.

HFRI-I Equity Hedge Index declined -0.39% in January

HFRI-I Event Driven Index posted a decline of -0.11%

HFRI-I Macro Index declined -0.10% in January

HFRI-I Relative Value Arbitrage Index gained +0.31%

Comments reference performance as of January, 31 2020