Bellevue Global Macro

The fund declined by 4.16% in March, with a volatility of 5.6%. Over the same period, the MSCI World Index (EUR) fell by 4.32%, while the Bloomberg Global Aggregate Index (EUR-hedged) Index declined by 1.97%.
The main detractors from performance during the month were equities (-2.24%), non-government bonds (-0.77%), gold (-0.50%) and government bonds (-0.59%).

The escalation of the Iran conflict reignited fears of another stagflationary shock, weighing on almost all major asset classes. Equities were particularly affected, with the S&P 500 recording five consecutive weekly declines for the first time since 2022. Credit performed in line with broader market. Government bonds were especially volatile, with the German Bund yield ending the month 36 bp higher at 3.0%, approaching levels last seen in 2011.

Against this backdrop, we actively repositioned the portfolio in response to the evolving risk environment. We reduced the equity allocation from 29% to 25% and managed exposures dynamically throughout the month. Within equities, the outbreak of the Iran war triggered a sharp sell-off across themes, sectors, regions and factors. The steepest declines were observed in those sub-asset classes that had previously outperformed, including Japanese equities and European value stocks. In line with our risk-budget framework, we closed several strategy baskets and increased our focus on broad index exposure. At the same time, we added an energy equity basket, one of the few sectors benefiting from the war environment.

Exposure to long-term government bonds was reduced gradually from 26% long to a 15% short position, reflecting rising inflation concerns driven by elevated energy prices. By month-end, the portfolio held short positions of 10% in Bund futures and 5% in French 10-year government bonds.

On the credit side, we reduced the allocation from 36% to a net 29%. In mid-March, we initiated a short position in the iTraxx Crossover Index via a structured product to hedge against a potential significant widening in credit spreads. On the FX side, we introduced a 2% short position in the South African rand against the US dollar, as another hedge against a further escalation of the energy situation as South Africa is particularly vulnerable to lower gold prices and higher energy prices given its exposure as a gold exporter and energy importer.

Portfolio duration was reduced from 3.2 years to 0.4 years, compared with a long-term average of 3.7 years. Given the continued uncertainty, we will remain active in adjusting the portfolio.

We reviewed our scenarios on March 20, 2026 as follows:

Base scenario: Contained conflict. The conflict enters a lower intensity phase, with attacks becoming less frequent and less severe. Oil supply disruptions ease and the global economy,
which started the year in a constructive position, absorbs the shock relatively well. Inflation rises temporarily due to higher oil prices, but central banks look through it and avoid aggressive tightening. Equity markets remain range-bound and volatile. This scenario is slightly negative for credit and government bonds.

Positive scenario: Rapid de-escalation. The conflict de-escalates faster than expected, whether through the reopening of the Strait of Hormuz, a weakening of the Iranian regime, or regime
change. Oil prices fall back toward pre-war levels, removing inflationary pressure before it becomes entrenched. Underlying economic resilience and structural drivers reinforce confidence.
Investors adopt a «buy the dip» stance. Equity markets recover sharply. This scenario is positive for credit and slightly positive for government bonds.

Negative scenario: Oil shock. The conflict remains intense, materially disrupting oil supply and driving a sustained rise in oil prices. The resulting energy shock pushes inflation higher. Central
banks face a difficult trade-off and are hesitant to act decisively. Markets begin to price in higher long-term inflation and a global economic slowdown. Equity and credit markets correct.
Government bonds are pressured as the inflationary backdrop keeps upward pressure on yields.