caused natural gas prices to decline sharply in the first quarter, reaching post-2020 lows in March and finishing the period down more than 40%.
Our Fund, with exposure to both Energy and Materials, returned -2.8% for the quarter, outperforming the -3.2% return of the benchmark. Positioning in Energy drove the Fund’s relative gains, while our Materials holdings underperformed. Most Energy industry groups declined for the three-month period, with the exception of Refining & Marketing, which advanced 8.9%. Our overweight in the group was a leading contributor to performance. Strong stock selection allowed all five Energy industry groups to contribute on a relative basis.
In Refining & Marketing, our overweight in Marathon Petroleum was the driver of relative performance. Demand for refined products has held up well, and margins have remained above historical averages. Marathon executed well relative to its peers in 2022, generating the highest refining margins in the group. This operational strength, along with cash from the Speedway sale, supported the repurchase of 32% of its outstanding shares over the last two years. With $12 billion in cash on its balance sheet and continued robust free cash flow, Marathon is positioned to repurchase 10% to 15% of its shares annually in 2023 and 2024.
E&P stocks underperformed during the quarter along with the decline in crude prices. However, the Fund benefited as our overweight holdings were among the best performers in the group, led by Diamondback Energy and Occidental Petroleum. We are focused on the lowest cost producers that are best able to withstand volatility in prices, and we added to our position in arguably the lowest cost producer, Pioneer Natural Resources.
Our position in Cheniere Energy was a notable contributor in the Storage & Transportation group. The largest LNG exporter in the U.S., Cheniere has benefited from high LNG prices driven by Europe’s efforts to replace Russia sourced natural gas amid the war in Ukraine. We believe the company is well positioned for the long-term growth of the global LNG markets given its ongoing capacity expansion, strong competitive position, and relative insulation from price fluctuations.
The Fund’s holdings In the Materials sector weighed on relative performance, as our 3.6% sector return trailed that of the benchmark. Alcoa was the largest individual detractor from performance. The aluminum producer was hit by a weaker-than-expected forecast of shipments in 2023, a trend that we expect to stabilize and reverse going forward. Our position in CF Industries, one of the largest nitrogen fertilizer producers in the world, also weighed on performance.