Tuesday, 30 August 2016
Last updated 15 hours ago
Apr 9 2012 | 11:21am ET
Hedge funds were up 0.59% in March although they still trailed the S&P 500, which was up 3.13% for the month and 12.00% YTD.
The Hennessee Hedge Fund Index is up 4.59% YTD.
“Hedge funds posted their best first quarter since 2006 but lagged equity markets as managers were conservatively positioned,” said Charles Gradante, managing principal of Hennessee Group. “However, with 77% of stocks currently trading above their 200 day moving average, many managers believe the market may be due for a correction.”
Lee Hennessee, another managing principal of the group, attributed hedge funds' positive performance to their low net exposures, but said some managers were frustrated on the short sides of their portfolios where “many high beta short positions rallied more than the overall market in the first quarter, detracting from performance.”
Equity long/short funds were up 0.95% (+4.87% YTD) in March while arbitrage event driven funds added 0.78%. High yield funds were down 0.1% (up 5.33% YTD), distressed funds were up 0.96% (up 5.60% YTD) and merger arbitrage funds up 0.42% (up 3.02% YTD). The Hennessee Convertible Arbitrage Index gained 1.12% in March (up 4.95% YTD).
Global/Macro funds were down 0.02% (but up 4.57% YTD) in March. International hedge fund managers, as measured by the Hennessee International Index, added 0.55% in March and are up 5.47% YTD. Emerging markets funds shed 1.28% on the month (although they're up 4.86% YTD). Macro managers also experienced losses in March, dropping 0.28% (for a 1.42% YTD gain). Managers had gains in currency and fixed income exposures, but suffered losses in commodity exposure.