February 2024 comment

February continued where January left off, with another robust month of gains propelling our year to date above 5%. Agriculturals extended their performance, with the Cocoa conviction trade proceeding unabated, supported by longs in Cotton and Rubber but also Soybeans contributing on the short side.

In interest rates, market pricing moved towards the view we expressed in our last snapshot, with resilient economic data wiping growth shocks from forward curves thus reducing expected cuts to our expectation of a few insurance cuts starting at the half year mark.

The growth factor dominated the resulting tighter financial conditions, elevating equity indices to our second largest contributor this month. Asia longs performed and increased in relative size as we exited our short China position as the index rebounded from its deep lows. The Russell index also contributed as it persisted with its recent catch up.