04/04/2023 Performance Notes

In March, global financial markets posted mixed performance dominated by bank closures and concerns about the stability of financial institutions; UBS agreed to acquire Credit Suisse with the support of Swiss and central banks. Asset classes traded in wide and volatile ranges throughout the month with equities paring steep intra-month declines into month end. The strength in the Technology sector was offset by weakness in Financials and Energy. US Federal Reserve increased interest rates to slow US inflation, however, flight to quality buying drove bond yields lower for the month. The US dollar declined against most currencies. Gold & Silver led commodity gains while Crude Oil was little changed for the month. Natural Gas posted a steep decline.
Hedge Funds posted mixed performance for the month with gains in Equity Hedge & Event-Driven sub-strategies offset by weakness in Macro & CTA strategies. The HFRX Market Directional Index gained +0.40% for the month, while the HFRX Absolute Return Index declined -0.11% and the HFRX Global Hedge Fund Index fell -1.19% in March.
HFRX Equity Hedge Index declined -0.14% for the month from gains in Fundamental Growth strategies offset by declines in Fundamental Value and Equity Market Neutral strategies. The HFRX Fundamental Growth Index gained +0.25% from gains concentrated in small-cap US, European, and Emerging Markets equities. The HFRX Market Neutral Index posted a minor decline of -0.01% from declines in mean reverting, factor-based strategies. The HFRX Fundamental Value Index fell -0.37% from declines in exposure to large-cap US & European equities.
HFRX Relative Value Arbitrage Index declined -0.62% from gains in Convertible Arbitrage strategies offset by declines in Multi-Strategy managers. The HFRX Convertible Arbitrage gained +0.27% for the month as volatility increased. The HFRX RV: Multi-Strategy Index declined -0.71% as the Federal Reserve increased interest rates to slow US inflation.
HFRX Event Driven Index declined -1.57% in March as gains from Merger Arbitrage managers were offset by declines in Special Situations equity strategies.  The HFRX Merger Arbitrage Index gained +0.27% as global equities saw mixed performance across geographies and sectors. The HFRX Special Situations Index declined -1.69% from declines in exposure to global, catalyst-driven, fundamental value equities.
HFRX Macro/CTA Index posted a decline of -3.02% from steep declines in systematic trend-following managers. The HFRX Macro Systematic/CTA index fell -6.66% for the month as the US Dollar fell against most currencies. Natural Gas posted a steep decline for the month, leading commodity declines, with Lean Hogs, Oil, and Rubber also falling.
Comments reference performance figures as of March 31 , 2023