Investable indexes: March 2012 returns

Hedge funds have mixed performance in March after starting the year on an upward trend. Most strategies had marginal moves up or down. The only combined index to increase was Dow Jones/Credit Suisse.

Dow Jones/Credit Suisse
The Dow Jones Credit Suisse Hedge Fund Index was up 0.05% in March but five of the 10 sub-strategies suffered declines. Managed futures posted the biggest drop, falling 2.96%, followed by dedicated short bias, which followed its decline of 4.66% in February with a further decrease of 1.35% bringing its year-to-date performance to a negative 13.08%. Other losers were emerging markets (down 0.7%), equity market neutral (down 0.15%) and global macro (down 0.43%).
Any strategy that did gain in March increased by less than 1%. The best performers were event driven hedge funds, posting an increase of 0.79%, marginally beating fixed income arbitrage, which was up 0.74%. Convertible arbitrage gained 0.55% with long/short equity up 0.5% and multi-strategy mustering only a 0.45% increase.

FrontEdge Global Hedge Fund
The Frontier Investment Management’s FrontEdge Global Hedge Fund declined by 0.03% in March while the HFRI Fund of Funds Index managed a mirror increase of 0.03%.
Four of the eight underlying hedge fund sub-strategies were positive in March.
The best performance was in multi-strategy, up 0.5% for the month. This was followed by event driven registering a 0.14% gain and fixed income arbitrage posting a positive 0.11%.
The worst strategy for March was managed futures, which fell 1.1%.
Over the past 12 months the FrontEdge Global Hedge Fund has fallen by 3% with a volatility of 4% compared with a decline of 3.1% and volatility of 5.4% for the HFRI Fund of Funds Index.

HFRX
The HFRX Global Hedge Fund Index fell by 0.02% in March, with negative contributions coming from fundamental growth and value managers as well as weakness across market neutral, technology/healthcare and energy/basic materials. Of the eight sub-strategies, four posted slight increases. Convertible arbitrage led with an increase of 0.32%. The smallest gain was in merger arbitrage, up 0.07%. The biggest fall was posted by equity hedge, which lost 0.85%. As equity volatility increased, both the HFRX Fundamental Value Index and the HFRX Fundamental Growth Index posted modest decreases of 0.04% each, with declines only partially offset by exposure to selected Latin American and European equities. The HFRX Equity Market Neutral Index declined by 0.55% in the month as volatility increased, with gains in factor-based strategies offset by declines in trading-oriented strategies.

Lyxor
The Lyxor Hedge Fund Index fell marginally in March, dropping 0.47% and bringing its performance so far this year to a positive 1.54%. Generally, March saw only slight movements across strategies, with the biggest change in the Lyxor CTA Short Term Index, which fell 1.84%.
Some short-term CTAs were able to pick up on the mid-month rally in US and European equities but they could not hold onto the gains toward the end of the month. Long-term CTAs were typically long bonds and equities in March, a combination that led to the index declining 1.7%.
Eight of the 14 hedge fund strategies posted declines for the month, with three posting declines of more than 1%. Equity long/short led hedge fund returns, with the Lyxor L/S Equity Short Bias Index gaining the most in March, up 1.25%. The Lyxor L/S Equity Market Neutral Index was up 0.72%, having stabilised after a slow start to the year. The Lyxor Global Macro Index declined 0.3% in the month but is up 1.6% for the first quarter. The Lyxor Distressed Securities Index, which was up 0.27% for March. The Lyxor Merger Arbitrage Index registered a positive 0.6% for the month.