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Alternative Market Briefing

Macro hedge fund saw strong performance in March, led by Macro CTA strategies

Wednesday, April 08, 2020

Laxman Pai, Opalesque Asia:

Macro hedge fund saw strong performance in March, led by Macro CTA strategies, tracked by the HFRI Macro: Systematic Diversified Index, which was up 2.9% in March.

The HFRI Macro (Total) Index gained +2.1 percent for the month, with significant contributions from quantitative, trend-following Macro CTA strategies.

CTA gains were attributed to trading long and short positions across fixed income, equity, currencies, metals, and energy commodities. Discretionary Commodity and Currency Macro strategies also gained for the month, with the HFRI Macro: Commodity Index returning +3.1 percent, while the HFRI Macro: Currency Index added +2.9 percent.

According to the report, fixed income-based Relative Value Arbitrage (RVA) strategies posted mixed gains in March on with long volatility exposures offsetting arbitrage spread widening.

The investable HFRI 500 Relative Value Index gained +0.7 percent driven by the HFRI 500 RVA: Volatility Index, which surged +8.9 percent.

The HFRI Relative Value (Total) Index declined by -3.6 percent, with credit multi-strategy funds posting a wide disparity in performance, resulting in the RVA: Multi-Strategy falling -3.3 percent.

HFRI Fund Weighted Composite Index down -5.9% for March

HFRI Fund Weighted Composite Index (HFR's proxy for the global hedge fund industry) was down -5.9% for March and -8.31% YTD, far outpacing the broad equity markets.

The HFRI 500 Hedge Fund Composite I......................

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