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Global financial markets posted steep losses in March as the coronavirus pandemic widened and volatility surged. Equities posted losses across most regions and sectors led by Energy and small cap exposures. The US Federal Reserve cut interest rates to near zero while the Treasury engaged in quantitative easing and congress passed large stimulus bills. Commodity prices plunged led by Oil, which fell on weakening demand as well as OPEC output dispute. The US Dollar posted mixed performance, gaining against the British Pound, while falling against the Swiss Franc. Hedge funds posted losses for the month, with Macro CTA strategies partially offsetting losses with a gain for the month. HFRI-I Liquid Alternative UCITS Index declined -5.59% for the month, topping equity market declines by over 600 bps.

HFRI-I Macro Index posted a narrow decline of -0.53% in March
HFRI-I Equity Hedge Index declined -6.52%

HFRI-I Relative Value Arbitrage Index declined -8.62%

HFRI-I Event Driven Index posted a decline of -9.57%

Comments reference performance as of March 31, 2020