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Alternative Market Briefing

Despite largely flat March hedge fund performance, FRM is quietly confident of better times ahead

Wednesday, April 11, 2012

Beverly Chandler, Opalesque London: Looking back on March hedge fund performance, hedge fund investment specialists FRM found that hedge fund performance across the board was largely flat with returns varying considerably through strategies. In FRM’s Early View the firm quotes the HFRX Global Hedge Fund Index as ending March 0.02% lower.

The firm found that some of the technically-oriented managers produced some of the best returns over the month. FRM says: "The decrease in correlations, both between and within asset classes from their highs at the end of 2011 has been helpful to the run of good returns from Equity Statistical Arbitrage managers".

Other out-performers included Equity and Long Short Credit managers with net exposures at the lower end of the spectrum who were rewarded for their caution. March saw managers not materially increasing their net exposures, as any increase that took place in February was generally taken in at the start of March, FRM says. But gross exposures were tactically increased. "The notable exception was in Asia where managers decreased gross exposures while navigating the sharp sector reversal in the region from cyclicals into defensives. Rhetoric from managers in the region suggests that there is now broader acceptance of a slowdown in China than there had been in previous months".

Systematic Trading managers had the worst time in M......................

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