Hedge Funds Add 0.59% In March

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. 

 

 


In Depth

AIMA: Smaller Firms Remain the Lifeblood of the Hedge Fund Industry

Jul 26 2017 | 5:55pm ET

It is a hedge fund industry truism that the largest managers receive the most attention...

Lifestyle

CFA Institute To Add Computer Science To Exam Curriculum

May 24 2017 | 9:25pm ET

Starting in 2019, financial industry executives sitting for the coveted Chartered...

Guest Contributor

Rastegar: PE Real Estate Gains Momentum as Uncertainty Rises

Jul 21 2017 | 6:04pm ET

The steady march of equity markets and fundamental shift in the direction of Fed...

 

From the current issue of