CHICAGO, (April 7, 2022) – Macro hedge funds surged to lead industry-wide gains in March, completing a record 1Q by again posting sharp returns as financial market volatility was exacerbated by skyrocketing inflation, rising interest rates and expectations for continued increases, and escalation of the Russian military conflict in Ukraine.
The investable HFRI 500 Macro Index surged +6.25 percent in March, extending its 1Q 2022 return to +10.0 percent, with strong contributions from Commodity, Fundamental Discretionary, and Quantitative, trend-following strategies. The investable HFRI 500 Fund Weighted Composite Index advanced +2.4 percent for the month, extending its 1Q22 return to +0.85 percent, topping the decline of the Nasdaq by nearly 1000 basis points.
Macro strategies delivered strong outperformance in March and for 1Q, posting negatively-correlated gains as equities declined in January and February, while producing positively-correlated returns in March as equities recovered. The investable HFRI 500 Macro Index surged +6.1 percent in March, the highest monthly return since inception, bringing 1Q performance to +10.0 percent, which is also a record quarter. The HFRI Macro (Total) Index vaulted +5.5 percent for the month. Macro sub-strategy gains were led by the investable HFRI 500 Macro: Commodity Index, which surged +18.1 percent in March, also a record monthly gain, as commodities spiked on inflation fears and supply disruptions tied to the Russian invasion of Ukraine; the Index produced a quarterly record return of +35.7 percent. Quantitative, trend-following Macro sub-strategies also led as the HFRI 500 Macro: Systematic Diversified Index spiked +6.7 percent for the month, also a record monthly gain, bringing the 1Q22 return to +11.3 percent.
“Global Macro hedge funds, led by fundamental, discretionary commodity, and quantitative, trend- following Macro, posted record gains in March to conclude a historic quarter as financial market volatility spiked driven by generational inflation, rising short term interest rates leading to an inverted yield curve, and acceleration of the military conflict following the Russian invasion of Ukraine. The combination of these two powerful market dynamics of inflation/interest rates and historic geopolitical risk has contributed to massive dislocations across commodity, equity, and fixed income markets and unprecedented macro and geopolitical uncertainty, with managers navigating tremendous and fluid volatility,” stated Kenneth J. Heinz, President of HFR. “As with the prior months, many managers, especially Global Macro managers, have clearly demonstrated their tactical flexibility to respond to these rapidly shifting market cycles and conditions, and these strategies are likely to attract institutional capital in coming quarters by not only leading industry performance, but generating defensive capital preservation and significant outperformance of equity markets through this unprecedented geopolitical and macroeconomic uncertainty.”
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