Units of the Frame Futures Fund declined by -7.25%. The Fund’s trading strategies declined by -2.95%, while the core trend following strategy declined by -4.30%.
Equity, Commodity and Fixed Income investments declined by -6.26%, -0.64% and -0.58% respectively. Currency investments added +0.70%.
Largest contributors to performance were investments in the iShares MSCI Chilean ETF, Mexican Peso USD Future contract, and a short position on the Lumber Future contract. Largest detractors were equity investments in the Australian share market and a long position on the Micro-Bitcoin Future contract amongst others.
In terms of fund activity, we continued to reduce exposure out of global equity markets. Volatility has risen, which has expanded our carried equity risk.
Looking forward, we continue to monitor how inflation responds to further interest rate increases. We will be looking for a leveling of headline inflation to occur before actively looking at additional positions in our long portfolio.
At the conclusion of the month, the Fund held 24 investments.
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