Hedge fund returns dipped slightly last month after global stock markets were roiled in February’s closing days, according to figures from Hedge Fund Research.

The firm’s HFRX Global Hedge Fund Index declined 0.21% in February, cutting its year-to-date return to 1.29%. Its absolute return index was in the black for the month (up 0.37% in February, 1.65% YTD), but its market directional index took a tumble (down 1%, up 0.37% YTD). Still, hedge funds did less badly than the broader markets, as the Standard & Poor’s 500 fell by almost 2% in February, leaving it down 0.47% in 2007 to date.

Merger arbitrage remains the strategy to beat in 2007, as it added another 1.55% in February to hit 3.71% on the year. Distressed securities (up 1.04%, 2.48% YTD), equity market-neutral (up 0.86%, 3.34% YTD) and convertible arbitrage (up 0.82%, 1.67% YTD) also posted strong months. Event-driven (up 0.6%, 2.72% YTD) and relative-value arbitrage (up 0.5%, 2.15% YTD) were also in positive territory for the month.

Not so lucky was the HFRX Macro Index, which was hammered in February, falling by 3.43% to obliterate January’s gain, leaving it down 2.89% for the year. Equity hedge was also in the red, but only by -0.21% (it’s up 1.26% YTD).