Opalesque Industry Update - Global financial markets ended a volatile month with mixed equity market performance as the combination of political unrest across the Middle East and reaction to Japanese natural and environmental situations continued to impact investors. The Japanese Yen touched a 15 year high against the US Dollar intra-month, but retraced a portion of the gains by month end; Oil and Silver posted gains for the month, with mixed performance across other commodities. Hedge funds posted declines for the month, with the HFRX Global Hedge Fund Index declining -0.88% with gains in Event Driven and Macro strategies offset by negative contributions from Equity Hedge and Relative Value. |
The HFRX Macro Index posted a gain of +0.38% for March, the fourth consecutive month of gains with positive contributions from discretionary strategies only partially offset by losses in systematic trend followers. Exposures to sovereign debt, currencies and commodities contributed to positive performance in Macro Discretionary strategies. The HFRX Systematic Diversified Index posted a decline of -1.59%, with declines in long equity index positions only partially offset by gains in currency, commodity and fixed income positions.
Also posting its fourth consecutive month of gains, the HFRX Event Driven Index posted a gain of +0.18% for the month, with corporate transaction activity continuing to accelerate and transactions involving both NYSE Euronext and T-Mobile highlighting an active month in Event Driven. Gains in European M&A and Equity Special Situations offset weakness in Distressed and Credit Arbitrage for the month. The HFRX Special Situations Index posted a gain of +0.42%; while the HFRX Distressed Securities Index and the HFRX Merger Arbitrage Index declined by -0.37% and -0.09%, respectively.
The HFRX Relative Value Arbitrage Index posted a decline of -0.42% for March with mixed performance across multi-strategy credit and convertible arbitrage strategies as fixed income yields traded in a wide intra-month range but settled with little change. The HFRX Convertible Arbitrage Index posted a narrow gain of +0.01%, while the HFRX RVA: Multi-Strategy Index posted a decline of -0.46%; both of these were impacted by shifts in fixed income yields levels and curve shapes, with implied volatilities also tracing a wide intra-month range. Yield-alternative energy infrastructure exposures also posted declines for the month.
The HFRX Equity Hedge Index posted a decline of -3.13% for the month in a volatile and widely dispersed month for equity markets, with weakness in Energy and Basic Materials only partially offset by gains in Equity Market Neutral. The HFRX Fundamental Value Index and the HFRX Fundamental Growth Index posted losses of -4.48% and -0.54%, respectively, while the HFRX Equity Market Neutral Index posted a gain of +1.55%.