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HFRI Fund Weighted Composite Index up 1.21% in February, 1.68% YTD

Monday, March 07, 2011
Opalesque Industry Update - Global equity markets posted broad-based gains for February despite the spreading of civil unrest in the Middle East and North African countries; oil prices rose for the month to over $100 a barrel on concerns about supply disruption. Hedge funds posted gains for the month of February, with the HFRI Fund Weighted Composite Index gaining +1.21% for the month, with positive contributions across all strategies. The U.S. Dollar declined against the Euro and British Pound as US initial jobless claims and consumer confidence improved throughout the month, while precious metals also posted gains.

For a second consecutive month, the Event Driven strategies had the largest contribution to the index performance, with the HFRI Event Driven (Total) Index posting a gain of +1.45%; all ED sub-strategies had a positive contribution for the month. Continued strength in credit markets was supportive of new corporate transactions in the energy, basic materials, and technology sectors. The HFRI:ED Distressed/Restructuring Index posted a gain of +1.06%, while exposure to equity special situations and multi-strategy added to the performance in the Event Driven space. A combination of new deal announcements and spread tightening contributed to a gain of +0.56% for the HFRI ED: Merger Arbitrage Index. Credit arbitrage and activist strategies were also positive for the month.

The HFRI Macro (Total) Index posted a gain of +1.29% for February with significant contributions from commodity, discretionary thematic and systematic trend following strategies, which were only partially offset by mixed performance in currency and active trading strategies. The HFRI Macro: Systematic Diversified Index posted a gain of +1.59% with significant contributions from energy and metals positions which were only partially offset by weakness in fixed income. Short U.S. Dollar exposure and long commodity also contributed to positive performance for discretionary thematic macro strategies.

The HFRI Equity Hedge (Total) Index posted a gain of +1.26% for the month, as gains in the US and other developed market exposures offset inflation concerns and volatility in the Middle East. Rallying commodity prices led to strong gains in the sector indices, with the HFRI EH: Energy/Basic Materials Index and HFRI EH: Technology/Healthcare Index posting a gain of +4.31% and +1.80%, respectively. Fundamental value, growth and multi-strategy all had positive contributions to performance. The HFRI EH: Equity Market Neutral Index posted a gain of +0.62% with contributions from factor-based, momentum and mean reversion strategies; Short Bias funds had a partially offsetting negative contribution to index performance, with a decline of -5.19%.

The HFRI Relative Value (Total) Index posted a gain of +0.81% for February with contributions from fixed income sub-strategies including convertible, corporate and asset-back strategies. The HFRI Convertible Arbitrage Index gained +1.40% as credit tightened and volatility increased into month end; volatility focused funds posted a modest gain for the month. The HFRI RVA: Multi-Strategy Index posted a gain of +0.91% as multi-strategy credit and yield-alternative energy infrastructure exposure posted gains, which were partially offset by losses in real estate strategies.

The HFRI Fund of Hedge Funds Index posted a gain of +0.64%, while the HFRI Emerging Markets Index posted a gain of +0.25% for the month, with the positive contributions from fund exposure in Russia/Eastern Europe offset by losses in the Middle East and Emerging Asia...Full performance table: Source

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