06/04/2024 Performance Notes

In May, global financial markets gained, led by Technology equities and falling interest rates, largely reversing equity declines and interest rate increases from the prior month. Technology, small-caps, and commodity-sensitive sectors led Global equity market gains; Germany, Hong Kong, and Taiwan led regional gains. Interest rates declined as the US Dollar weakened against most currencies, and investors positioned for rate cuts by the US Federal Reserve in the 2nd half of 2024. Metals led all commodity gains, with Silver leading. Natural Gas led Energy commodities, and Wheat and Soybeans led Agricultural commodity gains.

Hedge funds posted gains, reversing April declines, with the HFRX Market Directional Index gaining +1.68% and the HFRX Global Hedge Fund Index gaining +0.60% for the month.

HFRX Equity Hedge Index gained +1.25% for the month from gains in Fundamental Value, Fundamental Growth, and Market Neutral strategies. The HFRX Fundamental Value Index gained +1.35% from gains concentrated in large-cap US and European equities. The HFRX Fundamental Growth Index gained +1.29% from gains in exposure to small-cap US and European equities. The HFRX Equity Market Neutral Index posted a slight gain of +0.01% for the month from gains in mean reverting, factor-based strategies.

HFRX Relative Value Arbitrage Index gained +0.72% for May from gains in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +0.87% as volatility fell in May. The HFRX RV: Multi-Strategy Index gained +0.71% as interest rates declined for the month.

HFRX Event Driven Index gained +0.47% for the month from gains in Special Situations managers offset by declines in Merger Arbitrage strategies. The HFRX Special Situations Index gained +0.54% from gains in exposure to global catalyst-driven fundamental value equities. The HFRX Merger Arbitrage Index declined -0.71% as global equity markets gained in May.

HFRX Macro/CTA Index declined -0.51% for May from declines seen in systematic trend-following managers. The HFRX Macro Systematic/CTA Index declined -0.79% as the US Dollar fell against most currencies. Natural Gas, Silver, and Wheat led commodity gains for the month of May.

Comments reference performance figures as of May 31, 2024