Indices Show Mixed March For Hedge Funds

Apr 19 2011 | 11:51am ET

Another pair of hedge fund indices confirms the findings of most of their peers: March was not a month for the record books.

The average hedge fund fell 0.32% last month, according to the RBC Hedge 250 Index. That shoulder-shrugging conclusion is drawn from the highly-mixed performance of the hedge fund strategies tracked by RBC Capital Markets.

The best performer on the month, fixed-income arbitrage, added just 0.49% in March (4.47% year-to-date). Just two other strategies were in the black on the month, with convertible arbitrage funds adding an average of 0.39% (6.19% YTD) and event-driven credit funds 0.31% (3.55% YTD).

Of the more numerous losers, only managed futures funds suffered a big drawdown, shedding an average of 2.35% in March (down 0.61% YTD). All other strategies saw more modest losses: macro funds dropped 0.69% (down 0.98% YTD), equity market neutral funds 0.31% (up 0.22% YTD), equity long/short funds 0.15% (up 1.74% YTD), multi-strategy funds 0.1% (up 1.81% YTD) and mergers and special situations funds 0.05% (up 2.68% YTD).

Those ho-hum numbers were backed up by French business school Edhec's own hedge fund indices. Convertible arbitrage funds rose 0.23% on the month to cement its status as the best-performing strategy of the first quarter at 3.7%. Other quarterly returns were markedly less robust: equity market neutral funds added 0.91%, long/short equity funds 0.21% and event-driven funds 0.17%.

As in the RBC index, managed futures funds were the worst performers on the month, with Edhec's commodity trading adviser global strategy down 1.67% on the month and 0.57% on the year. Funds of hedge funds dropped 0.11% on the quarter.


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