RBC Hedge 250 Index Adds 0.36% In March

Apr 16 2012 | 7:56am ET

RBC Capital Markets says its hedge fund index—the RBC Hedge 250 Index—had an estimated net return of 0.36% in March, bringing its year-to-date return to 3.35%.

The return for February 2012 has been finalized at 1.27%.

Fixed-income arbitrage funds were the best performers in March, adding 1.40% (up 5.27% YTD). Next best were credit hedge funds, up 0.89% (3.89% YTD); followed by multi-strategy funds, up 0.71% (4.26% YTD); and equity long/short funds, up 0.62% (for a YTD gain of 4.58%).

Convertible arbitrage funds were up 0.44% for the month, but 6.85% YTD—the highest YTD total, followed by mergers and special situations, which were up 0.61% in March and 6.48% YTD.

The biggest losers for the month were managed futures strategies, down 1.13% (for a YTD loss of 2.36%); followed by equity market neutral funds, down 0.58% for March (but up 1.47% YTD). Macro funds also lost grown in March, down 0.16% (but up 1.15% YTD).

The index is a non-investable benchmark of the performance of the hedge fund industry based on a universe of 4,138 hedge funds (excluding funds of hedge funds) with aggregate assets under management of $990 billion.


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