Hedge fund returns were essentially flat last month, with the average fund shedding 0.03%, Hedge Fund Research reports.
The decline is the second in as many months for the HFRX Global Hedge Fund Index. Still, the average hedge fund remains up 0.68%, thanks entirely to a strong January: The global index fell 0.38% in February.
Distressed securities funds were the worst performers in March, dropping 2.72% (down 5.16% year-to-date). Systematic diversified funds also lost substantial ground, falling 2.35% (down 2.23% YTD) to wipe out its year-to-date gains, as did macro funds (down 1.98% in March, down 0.62% YTD).
Still, despite the losses—11 out of the 18 strategies tracked by the HFRX indices were in the red last month—the majority of individual strategies have maintained positive returns this year: Just six are down in 2009.
On the positive side, fundamental value funds jumped 2.4% (0.83% YTD), followed by equity hedge funds, which added 2.21% (0.76% YTD). Market directional funds rose 1.52% (3.44% YTD), convertible arbitrage funds 1.16% (9.43% YTD) and merger arbitrage funds 0.93% (1.69% YTD).