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In March, global financial markets posted mixed performance as interest rates increased, with equities paring declines for the quarter despite the continuation of generational inflationary pressures as well as the military conflict following the Russian invasion of Ukraine. Global equity markets gained led by Energy, Commodities, and Technology; European & Asian equities were mixed while the Russian equity market partially reopened under trading restrictions after a month of closure. Interest rates rose with increases concentrated in shorter-dated maturities as the yield curve flattened; the US Dollar posted a sharp increase against the Japanese Yen, also gaining against the Pound, Euro, and Swiss Franc. Commodity gains were led by a spike in Oil & Natural Gas, Metals gains were led by Copper & Aluminum while Agricultural gains were led by Cotton, Wheat, & Sugar
Bank Systematic Risk Premia strategy returns in March were driven by two macro factors: the Russian invasion of Ukraine and inflation.
The market most affected by the war was commodities, as energy, agricultural, and metals prices were all impacted. As a result, Commodity Momentum gained +7.96% MTD (+15.95% YTD) and Commodity Carry gained +2.43% MTD (+0.25% YTD) as dynamic carry strategies profited from forward curves backwardation. The market most affected by inflation was Rates, with rates rising across the yield curve. Rates Momentum posted a gain of +11.68% in March (+28.61% YTD).
Elsewhere, Credit Carry gained +4.35% MTD (-4.38% YTD). Currency Carry gained +6.07% MTD (+9.26% YTD) as USD and commodity-sensitive high yielders like AUD and NZD rallied. Equity Momentum declined -1.43% MTD (-8.35% YTD) as equity indices recovered some of their YTD losses and Equity Volatility also declined -2.27% for the month (-9.19% YTD) as dynamic volatility carry strategies were whipsawed by the VIX decline.
Comments reference performance figures as of March 31, 2022