April 2024 comment

Fresh off the airplane following an enjoyable Swiss roadshow where we met with some of our current and future investors. After a few days of engaging discussions, we dive into a quick review of last month's performance.

Currencies kept the march going in April, helping us clock another positive month whilst other asset classes had a more mixed performance. The relative strength of the US economy kept the dollar supported against most developed currencies, notably the Swiss Franc and Japanese Yen. As mentioned in last month’s comment, we started becoming more sensitive to the possibility of direct foreign exchange intervention by the Bank of Japan (BoJ), and initiated a tactical hedge as the USDJPY broke through 155 – touching 160 at its peak, the 1990 low for the Yen. We took the intervention thump down through 153 as the moment to remove the trade as we are skeptical on the ability of the BoJ to change the trend without an accompanying shift in current macro forces.

It was also interesting to observe our long gold and copper performing alongside a strong USD, signaling the main driver for metals is either shifting away from the simple real rates narrative or indicating a second round of inflation in the pipeline. Another intriguing shift has been underway in our interest rates composition, where fundamental longs are starting to pop up – mainly via improving carry metrics – and as such have been chipping away at our still aggregate short positioning. Agriculturals failed to contribute this month, as long Cotton and short European Wheat – both hitting their exit levels – soaked up the gains from the usual Cocoa and Coffee long combo.