02/02/2024 Performance Notes

In January, global financial markets began 2024 with mixed performance as geopolitical risk remained elevated and interest rates increased. Global equity markets posted gains to begin the year, led by Technology & Energy sectors, although small-caps posted declines; Japan, Italy, and several Emerging Markets led regional gains. Interest rates increased as US economic data continued to show strength. The US dollar gained against most currencies. Commodities had mixed performance, with Energy gains led by Oil, Agricultural gains led by Rubber, and Metals gains led by Copper.
Hedge Funds gained to start the year led by Macro strategies, with the HFRX Global Hedge Fund Index gaining +0.32%.
HFRX Macro/CTA Index gained +1.18% for January from gains in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +1.23% for the month as the US Dollar posted gains against most currencies. Commodities were mixed in January – Oil led Energy commodities, Copper led Metals, and Rubber led Agricultural commodity gains.
HFRX Equity Hedge Index gained +0.66% for the month from gains in Equity Market Neutral, Fundamental Growth, and Fundamental Value strategies. The HFRX Fundamental Growth Index gained +1.68% from gains in exposure to small-cap US & European equities. The HFRX Market Neutral Index gained +1.03% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Value Index gained +0.06% from gains concentrated in large-cap US & European equities.
HFRX Relative Value Index narrowly declined -0.03% for January from declines in Convertible Arbitrage strategies offset by gains seen in Multi-Strategy managers. The HFRX RV: Multi-Strategy Index gained +0.06% as interest rates increased in January. The HFRX Convertible Arbitrage index declined -1.00% as volatility rose through January.
HFRX Event Driven Index declined -0.22% for the month from declines in Merger Arbitrage strategies and Multi-Strategy managers. The HFRX Special Situations Index declined -0.13% from declines in exposure to global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index declined -1.51% as global equity markets posted mixed performance to begin 2024.
Comments reference performance figures as of January 31, 2024