03/02/2023 Performance Notes

In February, global financial markets declined as investors positioned for continued inflation, higher interest rates, and the possibility of a global economic recession. Global equity markets posted mixed performance, with declines led by large-cap, Technology, and Commodity sensitive sectors. European gains were led by the United Kingdom, France, and Germany while Asian equites declined. Interest rates increased across all maturities while the US Dollar strengthened against most currencies. Commodity declines were led by Aluminum and Silver while Energy commodities were little changed for the month. Agricultural commodities declined in February led by Wheat, Corn, and Lumber.
Hedge Funds posted mixed performance for the month led by Macro/CTA strategies with the HFRX Macro/CTA Index gaining +0.50%, while the HFRX Global Hedge Fund Index declined -0.47% and the HFRX Absolute Return Index fell -0.17%.
HFRX Macro/CTA Index posted a gain of +0.50% for the month led by gains in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +1.88% in February as the US Dollar strengthened against most currencies. Overall, commodities declined for the month with Aluminum and Silver leading Metals, and Lumber, Wheat, and Corn leading Agricultural commodities declines.
HFRX Relative Value Arbitrage Index declined -0.51% for the month from declines in Multi-Strategy managers and Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index declined -0.44% as the Federal Reserve increased interest rates. The HFRX Convertible Arbitrage Index declined -1.24% as volatility rose in February.
HFRX Equity Hedge Index posted a decline of -0.61% with gains in Fundamental Value strategies partially offsetting declines in Fundamental Growth and Market Neutral strategies. The HFRX EH: Fundamental Value Index gained +0.29% in February from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index declined -0.15% from declines in mean reverting, factor-based strategies. The HFRX Fundamental Growth Index declined -2.31% from declines concentrated in small-cap US, European, and Emerging Markets equities.
HFRX Event Driven Index declined -0.94% for the month from declines in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Merger Arbitrage Index declined -0.48% as global equities saw losses across geographies and sectors. The HFRX Special Situations Index posted a decline of -0.97% from declines in exposure to global, catalyst-driven, fundamental value equities.
Comments reference performance figures as of February 28, 2023