HFRU 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 with the HFRU Hedge Fund Composite Index declining -0.16% for the month.

HFRU Event Driven performance gained +0.33%

HFRU Relative Value Arbitrage Index gained +0.25%

HFRU Macro Index posted a gain of +0.10%
HFRU Equity Hedge Index declined -0.48%

Comments reference performance as posted on February 3, 2020