05/03/2024 Performance Notes

In April, global financial markets declined as investors positioned portfolios for interest rates to remain higher in the coming months due to persistent inflation, reversing Q1 optimism on rate cuts. Geopolitical risk continued to accelerate, with the conflict in Israel expanding to broader conflicts throughout the Middle East. Equities posted declines led by Technology, Financials, and Large-Cap sectors as optimism for rate cuts faded. Interest rates increased on persistent inflationary pressures, while the US Dollar gained, and the Japanese Yen fell to record lows. Commodity prices were mixed for the month. Copper and Platinum led Metals commodities, Natural Gas led Energy commodities, and Tea led Agricultural commodities.

Hedge Funds posted mixed performance for the month led by Macro strategies, with the HFRX Global Hedge Fund Index declining -0.54%.

HFRX Macro/CTA Index posted a narrow gain of +0.05% for the month from gains seen in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +0.80% as the US Dollar gained. Natural Gas led Energy commodity gains, and Tea led Agricultural commodity gains.

HFRX Event Driven Index declined -0.57% for April with declines from Special Situations managers and Merger Arbitrage strategies. The HFRX Special Situations Index declined -0.49% from declines in exposure to global catalyst-driven fundamental value equities. The HFRX Merger Arbitrage Index declined -1.73% as global equity markets saw declines to begin Q2 2024.

HFRX Relative Value Arbitrage Index declined -0.59% for the month from declines in Multi-Strategy managers and Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index declined -0.53% as interest rates increased in April. The HFRX Convertible Arbitrage Index declined -1.29% as volatility rose throughout the month.

HFRX Equity Hedge Index declined -0.80% for April from declines in Equity Market Neutral, Fundamental Value, and Fundamental Value strategies. The HFRX Equity Market Neutral Index declined -0.13% from declines in mean reverting, factor-based strategies. The HFRX Fundamental Value Index declined -0.82% from declines concentrated in large-cap US and European equities. The HFRX Fundamental Growth Index declined -0.88% from declines in exposure to small-cap US and European equities.

Comments reference performance figures as of April 30, 2024