March 2022 comment

In March the Federal Reserve delivered on its well telegraphed 25 basis point interest rate hike, officially initiating its hiking cycle. The only dissenting vote favoured a 50-point increment, and as the month progressed FOMC members followed through with increasingly hawkish comments that nudged the market to start baking in a more aggressive move for the April meeting.

As has been the case in the prior two months of the year, our macro fundamental side once again drove gains in March by performing in all asset class segments. Interest rates and Currencies were the standout classes. The former was boosted by our plethora of bond shorts which sold off on the tightening grip of central bank hawks. ?In FX, our USDJPY was especially profitable as the Bank of Japan diverged from the flock and the Brazilian Real kept resilient via its favourable commodity exposure.

The environment proved too choppy for most of our trend plays to perform, nonetheless the Agricultural segment kept ploughing ahead with gains. Trends in other asset classes had a tougher time, with whipsaw price action in Equities stopping out both on the long side - FTSE and Taiwan - and short side - Eurostoxx Dividend and Switzerland. Our USDCNH short also flirted with its hard stop level, such that triggered a partial reduction of the position.