UGA – Hedge Fund Bulletin | UBS Czech Republic

Market context

Risk assets generated positive performance in May. The strong risk-on rally that began with the ceasefire announcement in late March continued throughout May as investors re-engaged with the AI-driven theme. Companies tied to this theme outperformed and drove global equity markets to new all-time highs.US equities: Dow Jones 2.78%, S&P 500 5.15%, NASDAQ 8.36%. Europe: MSCI Europe 2.56, FTSE 0.78%, and DAX 3.19%. Asia: Nikkei 225 11.18%. Emerging Markets: Brazil -7.22%, China -1.08%. Rates/credit: US 2Y at 3.98% (from 3.88%) and the US 10Y at 4.45% (from 4.39%). Barclays US IG 0.40% and HY 0.49%. Commodities/FX: Gold -1.50%; oil -11.90%. The euro fell -0.66% (1.1733 → 1.1655), while the USD rose 1.99% versus the JPY (156.08→ 159.19).

Sources: Pound Sterling Live, Exchange Rates UK, U.S. Department of the Treasury, Bloomberg, Gold Price, Business Insider

Hedge fund highlights

Equity Hedge: Equity Hedged strategies delivered positive returns in May, driven by increased exposures and strong technology/momentum performance. US managers with net long bias excelled, while Asian markets outperformed and Europe lagged. Market breadth was narrow, but buying remained strong. A market hedge was added to manage concentrated technology exposure.

Relative Value / Event Driven: Relative Value strategies performed well in May, with positive results from quantitative equity, fixed income, agency MBS, and merger arbitrage. Convertible bond strategies were mixed, balancing gains and losses across sub-strategies.

Credit / Income: Credit/Income strategies saw positive returns in May, supported by gains from long corporate positions and carry themes in asset-backed, agency, and short-duration private credit, despite modestly rising US Treasury yields.

Trading / Macro: Trading strategies were broadly positive in May, driven by equity, interest rate, and carry income gains. Strong contributions came from Asia, AI, and copper, while commodities and FX results were mixed.

Key takeaways for allocators

May 2026 saw strong hedge fund performance across all major strategies, fueled by a risk-on rally and investor enthusiasm for AI-driven themes.

Market gains were concentrated in technology and momentum sectors, with only about a quarter of S&P names outperforming, highlighting the need for selective exposure and careful risk management.

Regional results varied: Asia, particularly Korea and Japan, outperformed, while Europe lagged due to weaker earnings prospects and energy concerns; US managers posted broad-based gains.

Investor sentiment stayed constructive despite geopolitical risks and muted rates, with robust flows and increased allocations, though hedges were added to manage concentrated tech exposure.

Performance snapshot (in %)

Index	May-26	Apr-26	Mar-26	QTD	YTD	1Y Annualized Return	3Y Annualized Return	5Y Annualized Return	10Y Annualized Return	10Y Volatility
MSCI World Total Return - Net USD	4.55	9.59	-6.37	14.58	10.49	27.49	21.89	11.96	13.09	14.89
FTSE US Broad Investment-Grade Bond Index	0.34	0.18	-1.85	0.52	0.43	5.22	4.00	0.16	1.72	5.11
Barclays Global High Yield Index	0.70	2.58	-2.47	3.29	1.94	9.41	11.50	4.24	5.44	8.23
Bloomberg Commodity Index Total Return	-3.56	4.21	11.50	0.49	25.03	40.47	16.59	11.75	7.21	13.61
ICE BofA Merrill Lynch 3-month T-Bill Total Return Index (G0O1)	0.30	0.29	0.29	0.60	1.45	3.88	4.70	3.46	2.31	2.02
HFRI Fund of Funds Composite Index	3.08	3.91	-2.11	7.11	7.81	17.74	10.90	5.78	5.84	5.10
HFRI Equity Hedge (Total) Index	2.70	6.58	-4.36	9.46	8.92	24.14	15.66	7.46	8.99	8.90
HFRI Event-Driven (Total) Index	2.07	4.07	-1.81	6.23	5.75	15.07	12.38	6.50	7.37	7.01
HFRI ED: Credit Arbitrage Index	1.63	2.52	-1.58	4.20	2.72	8.52	9.59	6.37	6.95	6.65
HFRI Macro (Total) Index	0.17	2.44	-2.04	2.61	7.50	18.12	7.25	5.42	4.60	5.07
HFRI Macro: Systematic Diversified Index	-0.45	2.89	-0.09	2.42	10.05	19.41	3.65	3.67	3.01	7.70
HFRI Relative Value (Total) Index	0.60	1.25	-0.29	1.86	3.58	8.75	8.36	5.51	5.42	4.20
Source returns: UGA - Hedge Funds, Bloomberg, Barclays (Lehman) Live, HFR. As of May 31, 2026. These figures are net of all fees in USD. Historical performance indications and financial market scenarios are not reliable indicators of future performance. Please note that the composition, methodology, and reported values of the HFRI Index are subject to periodic updates and revision by Hedge Fund Research, Inc.

Strategy performance as of May 31, 2026. Historical performance indications and financial market scenarios are not reliable indicators of future performance.

Overall market commentary

May was a broadly positive month for the UGA – HF platform. All strategies contributed positively to performance during the month. The strong risk-on rally that began with the announced ceasefire in late March continued throughout May, as investors re-engaged with the AI-driven themes. Companies exposed to these themes outperformed and helped drive global equity markets to new all-time highs. Despite higher inflation prints, the overall yield environment remained muted and further supported the upward move in equities. The Fed remained on hold in the near term, as inflation pressures made a rate cut unlikely. Although the geopolitical landscape had yet to reach a lasting resolution, easing oil prices allowed investors to look beyond the conflict and potential supply disruptions, and instead focus on earnings and forward-looking capital expenditures.

Investor sentiment appeared to look past the conflict, with attention centered on underlying fundamentals and forward-looking earnings guidance. Outperformance in Asia continued, while results across the US and Europe remained solid. Overall, investor sentiment remained constructive despite the multi-week rally as positions cross asset classes reflected increased ownership despite the multi-month-long biased tilt.

Source returns: UGA - Hedge Funds, Bloomberg, Barclays (Lehman) Live, HFR. As of May 31, 2026. Historical performance indications and financial market scenarios are not reliable indicators of future performance.

Equity Hedged strategies generally produced positive returns in May. Following the sharp rally in April, additional gains were achieved as both gross and net exposures increased. The themes that drove the market in April continued to outperform in May as technology / momentum reached new all-time highs. While no peace deal was reached in the Middle East, the cease fire remained in effect, providing a lens for market fundamentals to drive prices and valuations higher. Additionally, some IPOs, further supported the market rally. US managers saw broad based gains across the platform, where results favored those managers that were able to retain their net long bias during the market correction in March. Sector leaders for the platform included technology / AI, while biotechnology, energy and financial exposure tended to lag. Software, memory, cybersecurity were some of the sub-sectors that demonstrated notable strength into month-end. Overall market breadth was narrow with only about a quarter of S&P names outperforming the broader index. However, in April there appeared to be emerging signs for more balance with some long / short ratios at decade lows. Asian markets, primarily Korea and Japan, outperformed again. While our overall exposure remained limited, it was impactful to portfolios where it was held. European manager performance was more mixed and tended to lag other regions given the weaker outlook for earning growth and potentially higher vulnerability to energy supply disruptions. In terms of flows, buying remained strong over the month with length added across hedge funds, retail and systematic communities.

Please note that the composition, methodology, and reported values of the HFRI Index are subject to periodic updates and revision by Hedge Fund Research, Inc.

HFRI Equity Hedge Total Index:

MTD 2.70%

QTD 9.46%

YTD 8.92%

Relative Value strategies delivered positive performance in May. Quantitative equity strategies delivered overall positive results. Convertible bond strategies were mixed where weakness in some volatility and dividend arbitrage strategies offset gains from a strong issuance climate and modest spread tightening. Fixed income relative value strategies were broadly positive on the back of bond RV and macro themes. Agency MBS strategies were positive due to carry income amid limited prepayments and only modest moves in the mortgage basis. Lastly, merger arbitrage strategies were positive in May given the strong environment for business combinations.

HFRI Relative Value Total Index:

MTD 0.60%

QTD 1.86%

YTD 3.58%

Credit / Income strategies generally produced positive returns in May. Interest rate markets were again modestly weaker in line with some mild rise in US Treasury yields. The moves in interest rates were quite muted relative to the moves in equities. Traditional corporate long / short strategies contributed positively to performance where long positions drove results. Carry themes across asset-backed, agency and short duration private credit sub-strategies were also additive.

HFRI ED: Credit Arbitrage Index:

MTD 1.63%

QTD 4.20%

YTD 2.72%

Trading strategies were broadly positive in May. Both developed and emerging market macro strategies were supported by equity trading, interest rate exposure and carry income. Gains were generated from DM rates, primarily from UK front-end. Payer positions in Japan were accretive, while US exposure was more mixed. Equities were a strong contributor, especially those with exposure to Asia and AI themes. Commodity strategies were more challenged given the weakness across the energy complex and mild losses in gold. On the positive side, gains were produced from copper and emission positions. Overall, FX results were relatively muted, with carry and energy exporter currencies in focus.

Source: UGA - Hedge Funds, HFR. For illustrative purpose only. As of May 31, 2026. Historical performance indications and financial market scenarios are not reliable indicators of future performance. Please note that the composition, methodology, and reported values of the HFRI Index are subject to periodic updates and revisions by Hedge Fund Research, Inc.

This document has been prepared by UBS Asset Management (Americas) LLC, acting through Unified Global Alternatives - Hedge Funds (“UGA - Hedge Funds” or “UGA - HF”), a provider of hedge fund strategies. It contains UGA - Hedge Funds' view of market events during the specified period and all such information and opinions are subject to change without notice, and does not pertain specifically to products managed or advised by UGA - Hedge Funds. The materials are provided for information purposes only and do not constitute investment advice. The information contained herein is believed to be reliable but its accuracy is not guaranteed. This publication encompasses UGA - Hedge Funds’ views based on our internal manager universe and are subject to change. The universe includes managers that are either invested in or followed by UGA - Hedge Funds and does not represent all hedge fund managers and strategies available in the industry. Any indices shown throughout this report are for illustrative purposes only and not a representation of UGA - Hedge Funds universe performance.

Code : C-06/26 M-005463 M-005604

HFRI Macro Total Index:

MTD 0.17%

QTD 2.61%

YTD 7.50%

Strategy definitions

Equity Hedged managers generally use fundamental analysis to invest in publicly traded equities and seek to generate alpha through superior security selection. Portfolio construction is driven primarily by bottom-up fundamental research; top-down analysis may also be applied. Sub-strategies include: Fundamental, Equity Event, and Opportunistic Trading.

Trading strategies are generally top-down in nature and often driven by econometric and macroeconomic research. These strategies may utilize financial instruments, such as foreign exchange, equities, rates, sovereign debt, currencies, and commodities to express a manager's view. In executing different approaches, managers may use either fundamental or quantitative models or a combination of both. Sub-strategies include: Systematic, Discretionary and Commodities.

Relative value is a broad category, generally encompassing strategies that are non-fundamental and non-directional, and often quantitatively driven. Managers in this strategy typically use arbitrage to exploit mispricings and other opportunities in various asset classes, geographies, and time horizons. Managers frequently focus on capturing the spread between two assets, while maintaining neutrality to other factors, for example to geography, changes in interest rates, equity market movement, and currencies, to name a few examples. Sub-strategies include: Fixed Income Relative Value, Agency MBS, Quantitative Equity, Cap Structure/Vol Arb and Merger Arbitrage.

In Credit/Income strategies, managers utilize credit analysis to evaluate potential investments and use debt or debt-linked instruments to execute their investment theses. Their approach can be either fundamental, quantitative, or a combination of both. Sub-strategies include: Distressed, Corporate Long/Short, Asset-Backed, Reinsurance / ILS, CLO/Corporate Lending and Other Income.

Other: This category contains investment approaches that are outside of the mainstream hedge fund strategies (Equity Hedged, Credit/Income, Relative Value, and Trading). The category includes nice investment approaches. Money Market funds and cash strategies are also included in this category, as are Liquidating/Side Pockets.

Risk Parity generally focuses on the passive allocation of risk, rather than of capital, in an attempt to provide a higher Sharpe ratio alternative to the traditional 60% stock / 40% bond portfolio through the use of a wider range of uncorrelated assets, low leverage, and low equity risk. Please note, while an alternative to traditional asset allocation, Risk Parity is not a hedge fund Strategy.

Index descriptions

The use of indices is for illustrative purposes only. Unlike the Fund, some indices are unmanaged, are not available for direct investment and are not subject to management fees and other fees and expenses. The Fund does not restrict its investments to securities in the indices described. No index is directly comparable to the investment strategy of the Fund. Information about the index is derived from sources that we believe to be reliable, but we have not independently verified them and do not warrant as to its accuracy or completeness.

The Barclays Corporate High Yield Index covers the universe of fixed rate, non-investment grade debt. Pay-in-kind (PIK) bonds, Eurobonds, and debt issues from countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG countries are included. Original issue zeroes, step-up coupon structures, and 144-As are also included.

The Barclays Global Aggregate Index provides a broad-based measure of the global investment grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

The Citigroup Broad Investment Grade Bond Index is an unmanaged index generally representative of the performance of the investment grade corporate and U.S. government bonds.

The Dow Jones - UBS Commodity Index Total Return index is comprised of futures contracts on 19 physical commodities. It reflects the return on fully collateralized futures positions and is quoted in USD.

The HFRI Equity Hedge Total Index is equally weighted performance index. The HFRI is broken down into four main strategies, each with multiple sub-strategies. This index represents the Equity Hedged strategy, which includes funds who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity Hedged managers would typically maintain at least 50%, and may in some cases be substantially entirely invested in equities, both long and short.

The HFRI Event Driven (Total) Index is an equally weighted performance index. The HFRI is broken down into four main strategies, each with multiple sub-strategies. This index represents the Event Driven strategy, which is also known as corporate life cycle investing. The constituents of this index are funds investing in opportunities created by significant transactional events of a wide variety, including but not limited to spin-offs, mergers and acquisitions, tender offers, security issuance, bankruptcy reorganizations, recapitalizations and share buybacks. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments.

HFRI FOF: Conservative Index FOFs classified as "conservative" exhibit one or more of the following characteristics: seeks consistent returns by primarily investing in funds that generally engage in more "conservative" strategies such as Equity Market Neutral, Fixed Income Arbitrage, and Convertible Arbitrage.

The HFRI FOF: Diversified Index includes fund of funds classified as "diversified." Fund of funds classified as "diversified" exhibit one or more of the following characteristics: invests in a variety of strategies among multiple managers; historical annual return and/or a standard deviation generally similar to the HFRI Fund of Fund Composite index.

The HFRI Fund of Funds Composite Index is an equally weighted performance index broken down into 37 different categories by strategy. There is no required asset-size minimum for fund inclusion in the HFRI and there is no required length of time a fund must be actively trading before inclusion in the HFRI.

The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of USD 50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

The HFRI Macro Total Index is equally weighted performance index. The HFRI are broken down into four main strategies, each with multiple sub-strategies. This index represents the Macro strategy, which involves investing by making leveraged bets on anticipated price movements of stock markets, interest rates, foreign exchange and physical commodities. Macro managers employ a "top-down" global approach, and may invest in any market using any instrument to participate in expected market movements. These movements may result from forecasted shifts in world economies, political fortunes or global supply and demand for resources, both physical and financial. Exchange-traded and over-the-counter derivatives are often used to magnify these price movements.

The HFRI Macro: Systematic Diversified Index is equally weighted performance index. The HFRI are broken down into four main strategies, each with multiple sub-strategies. The HFRI Macro: Systematic Diversified Index represents the Systematic Diversified sub-strategy, which involves investing by employing mathematical, algorithmic and technical models, with little or no influence of individuals over the portfolio positioning. Managers in these strategies employ an investment process designed to identify opportunities in markets exhibiting trending or momentum characteristics across individual instruments or asset classes. The quantitative aspect of the investment process is focused on identifying statistically robust or technical patterns in the return series of the asset, and typically highly liquid instruments. Systematic managers maintain shorter holding periods than either discretionary or mean reverting approaches. Although some systematic strategies seek to employ counter trend models, the strategy tends to benefit most from an environment characterized by persistent, discernable trending behavior.

The HFRI Relative Value (Total) Index is equally weighted performance index, utilized by numerous hedge fund managers as a benchmark for their own hedge funds. The HFRI are broken down into four main strategies, each with multiple sub-strategies. This index represents the Relative Value Arbitrage strategy, which attempts to take advantage of relative pricing discrepancies between instruments involving equities, debt, options and futures. Managers may use mathematical, fundamental, or technical analysis to determine misvaluations. Securities may be mispriced relative to the underlying security, related securities, groups of securities, or the overall market. Many funds use leverage and seek opportunities globally. Arbitrage strategies include dividend arbitrage, pairs trading, options arbitrage and yield curve trading.

The J.P. Morgan Government Bond Index is the most widely-used measure of performance of leading government bond markets. The indices measure the total, principal, and interest returns in each market and can be reported in 18 different currencies. By including only traded issues, the Index provides a realistic measure of market performance for international investors

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States.

The MSCI EMF Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets.

The MSCI World Total Return Index uses the same methodology as the MSCI USD World Index but also includes reinvestment of dividends. Net Dividends: This series approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses with holding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The index performance has been translated into the feeder currency using the applicable daily currency exchange rate from Bloomberg.

The Nikkei 225 JPY Index Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange.

Standard and Poor's 500 Index (S&P500) is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

S&P GSCI Total Return Index is a fully-collateralized index, showing total return an investor would receive from S&P GSCI excess return plus T-bill return on the collateral. Its components are updated on a yearly basis and include energy, industrial metals, precious metals, livestock, and agricultural commodities. The S&P GSCI can offer a benchmark for investment performance in the commodity markets.

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Unified Global Alternatives – Hedge Fund Bulletin