05/31/2023 Performance Notes

In May, global financial markets posted mixed performance with gains in Technology and AI equities offset by declines in commodities, higher interest rates, and ongoing concerns regarding economic growth in 2023. Technology equities led gains with strong earnings from Nvidia boosting semiconductor and AI-related equities. Energy and Financials led declines through Financials volatility which peaked in early May and moderated throughout the month as investors shifted focus to debt ceiling proceedings; European and Asian equities declined across most regions, although Japan gained. Interest rates increased as investor focus adjusted from regional bank volatility to debt ceiling legislation and economic outlook. The US Dollar gained against most currencies. Oil, Natural Gas, Platinum, and Soybeans led commodities declines.
Hedge Funds posted mixed performance led by Macro & Equity Hedge strategies, with the HFRX Global Hedge Fund Index declining -0.46% for the month.
HFRX Macro/CTA Index posted a gain of +0.89% for the month led by gains in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +2.49% in May as the US Dollar gained against most currencies. Overall, commodities declined for the month led by Oil, Natural Gas, and Platinum.
HFRX Equity Hedge Index gained +0.26% from gains in Fundamental Growth and Value strategies as well as Market Neutral strategies. The HFRX Fundamental Growth Index gained +0.68% for the month from gains realized in small-cap US and European equities. The HFRX Market Neutral Index gained +0.18% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Value Index gained +0.04% from gains in exposure to large-cap US and European equities.  
HFRX Relative Value Index gained +0.03% for the month from gains in Convertible Arbitrage strategies partially offset by Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +0.34% as markets continued to see volatility through May. The HFRX RV: Multi-Strategy Index posted performance of +0.00% in May as the Federal Reserve increased interest rates.   
HFRX Event Driven Index declined -2.63% from declines in Merger Arbitrage managers and Special Situations equity strategies. The HFRX Special Situations Index declined -2.60% from declines in exposure to global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index declined -3.06% as global equities saw mixed performance across geographies and sectors in May.
Comments reference performance figures as of May 31, 2023