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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. Hedge Funds posted mixed performance in March, led by Macro/CTA strategies with the HFRX Macro/CTA Index gaining +3.10% for the month and the HFRX Global Hedge Fund Index gaining +0.48%.
HFRX Macro/CTA Index gained +3.10% for March from gains in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +6.94% for March as the US Dollar posted a sharp increase against the Japanese Yen along with gains against the Pound, Euro, and Swiss Franc. Oil, Natural Gas, Copper, and Aluminum all posted gains while agricultural commodities were mixed for the period led by Cotton, Wheat, and Sugar. Macro Discretionary managers posted solid performance from exposure to opportunistic Fixed-Income and global multi-asset strategies.
HFRX Equity Hedge Index gained +1.51% for the month from gains in Fundamental Value and Growth strategies only partially offset by declines in Market Neutral strategies. The HFRX Fundamental Value Index gained +1.96% from exposure to large-cap US & European equities. The HFRX Fundamental Growth Index posted a gain of +1.03% from gains concentrated in US small-cap equities, energy, and technology. The HFRX Market Neutral Index declined -0.32% for the month from declines in mean reverting, factor-based strategies and fundamental managers.
HFRX Relative Value Arbitrage Index posted a decline of -0.85% for March from declines in Multi-Strategy and Convertible Arbitrage Strategies. The HFRX Convertible Arbitrage Index declined -0.21% for the month as volatility decreased and yields flattened. The HFRX RV: Multi-Strategy Index posted a decline of -0.91% as interest rates rose during the month with increases concentrated in shorter-dated maturities.
HFRX Event Driven Index declined -0.94% for the month with declines in Special Situations equity strategies minimally offset by gains from Merger Arbitrage managers. The HFRX Merger Arbitrage Index gained +0.08% as activity in global M&A deals continued. The HFRX Special Situations Index posted a decline of -1.00% from exposure to global catalyst-driven, fundamental value equities.
Comments reference performance figures as of March 31, 2022