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In April, global financial markets posted steep declines driven by concerns regarding inflation, higher interest rates, and the ongoing military conflict in Ukraine. Most US equity indices posted the worst month since the beginning of the global coronavirus pandemic, while the Nasdaq posted the worst monthly decline since 2008. US equity markets declines were led by Technology, Semiconductors, and Telecom; European & Asian equities posted more narrow declines. US interest rates rose as generational inflation continued to accelerate, and the US Federal Reserve communicated expectations for multiple rate increases for 2022; the US yield curve oscillated between a normal and inverted shape throughout the month. The US Dollar gained against most currencies posting a significant gain against the Japanese Yen, with the Bank of Japan indicating continued low interest rates. Energy once again led commodity gains, with Natural Gas spiking on supply constraints while Oil also extended gains; Metals declines were led by Aluminum & Silver while Agricultural gains were led by Cotton & Corn. Hedge Funds posted mixed performance in April as uncorrelated Macro gains offset declines in beta strategies with the HFRX Macro/CTA Index gaining +1.90% for the month and the HFRX Global Hedge Fund Index declining -0.90%.
HFRX Macro/CTA Index gained +1.90% for April from gains in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +5.19% for April as the US Dollar posted gains against most currencies with a significant gain against the Japanese Yen due in part to the Bank of Japan indicating continued low interest rates. Commodity gains were again led by energy, with Natural Gas propelled by supply constraints and Oil continuing gains. Agricultural gains were led by Cotton, Corn, and Rice; Metals saw declines led by Aluminum, Silver, and Copper. Macro Discretionary managers posted gains from exposure to opportunistic Fixed-Income and global multi-asset strategies.
HFRX Event Driven Index declined -0.71% for the month from declines in Special Situations equity strategies and Merger Arbitrage strategies. The HFRX Merger Arbitrage Index declined -0.67% as global equities declined across geographies and sectors. The HFRX Special Situations Index posted a decline of -0.71% from exposure to global catalyst-driven, fundamental value equities.
HFRX Equity Hedge Index posted a decline of -1.74% for April from declines in Fundamental Growth & Value strategies partially offset by gains in Market Neutral Strategies. The HFRX Equity Market Neutral Index gained +0.58% for the month from gains in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Value Index declined -0.69% from exposure to large-cap US & European equities. The HFRX Fundamental Growth Index posted a decline of -4.11% from declines in exposure to small-cap US, European, and Emerging Markets equities.
HFRX Relative Value Arbitrage Index declined -1.84% for the month from declines in Multi-Strategy managers and Convertible Arbitrage strategies. The HFRX RV: Multi-Strategy Index declined -1.76% for the month as interest rates rose in April. The HFRX Convertible Arbitrage Index posted a decline of -2.69% as volatility increased during the month.
Comments reference performance figures as of April 29, 2022