Opalesque Industry Update - Financial markets produced mixed performance for March, as strength in US economic data and optimism with regard to resolution of European sovereign debt crisis were offset by mixed performance in Asian and Emerging market equities, rising yields and commodity weakness. US equities posted gains with leadership from Financials and Technology partially offset by weakness in Energy & Commodity exposures. US yields rose across the curve on continued improvement in housing and employment data contributing to lower expectations for near term quantitative easing, while the US dollar was mixed, posting a gain against the Japanese Yen. Commodities declined for the month with Oil trading in wide range while Gold, Natural Gas and Agriculturals declined. |
Hedge fund performance was also mixed for the month, with the HFRX Global Hedge Fund Index posting a narrow decline of -0.02%, with losses in Macro strategies offsetting gains across Equity, Event and Arbitrage strategies.
The HFRX Event-Driven Index posted a gain of +0.56%, the 3rd consecutive monthly gain and bringing 1Q12 performance to +5.81%. Both US Equity markets and credit markets improved, with strength in US Financials and falling volatility contributing to gains across various ED strategies, with the HFRX Distressed Index gaining +0.59%. Corporate M&A activity continued in both Pharmaceutical & Commodity spaces, with positions in Roche/Illumina, Express Scripts/Medco and Glencore/Viterra contributing to gains in the HFRX Special Situations Index of +0.44% and the HFRX Merger Arbitrage Index of +0.21%.
The HFRX Macro CTA Index posted a decline of -1.60% for March, from negative contributions from commodity and currency exposure only partially offset by fixed income positioning. Quantitative, trend following strategies declined on commodity weakness and US strength, with the HFRX Systematic Diversified Index posting a decline of -2.36%. Discretionary Macro strategies were also negatively impacted by the commodity weakness, but these were partially offset by currency, equity and short fixed income positions.
The HFRX Equity Hedge Index posted a gain of +0.40%, also the 3rd consecutive monthly gain, with positive contributions from European & Technology exposures. The HFRX Fundamental Value Index gained +0.79% and the HFRX Fundamental Growth Index gained +0.18%, with tactical exposure adjustment, sector and geographic areas and short exposure all contributing to gains in the choppy trading month. The HFRX Equity Market Neutral Index declining by -1.21% with gains in factor based strategies offset by weakness in trading and behavioral based models.
The HFR Relative Value Arbitrage Index posted a gain of +0.27%, as tactical, hedged positioning and credit tightening offset the impact of higher US yields. The HFRX RV Multi-Strategy Index and the HFRX Convertible Arbitrage Index posted gains +0.09% and +0.16%, respectively, with Event-style convertible and fixed income arbitrage exposures contributing to gains. Corporate FI Arbitrage was mixed while Energy infrastructure and Emerging Markets exposures detracted from gains.
Comments reference performance figures as of March 30, 2012
Performance table on www.hedgefundresearch.com