Opalesque Industry Update - In March, the stock markets continued to rise for the fourth consecutive month. The S&P 500 gained 3.29%, registering a 12.59% progression since the beginning of 2012. Equity implied volatility dropped sharply, settling at a level (VIX: 15.5%) near to a one year low. Fixed income markets were again contrasted, with a high grade segment confirming a downward trend (Lehman Global: -1.00%), but riskier assets characterised by slowing momentum (Credit Spread Index: 0.52%, Convertibles: 0.28%). Commodities (-2.10%) ended their rally brutally while the Dollar regained some ground (0.83%), with the pair persisting in the anti-correlated pattern adopted four months ago.|
The Equity Market Neutral strategy (0.36%) performed in line with its dynamic exposure, while the more directional strategies (Long/Short Equity: 0.34%, Event Driven: 0.62%) seem to have reduced their beta faster than what the risk model suggests, capturing only a small fraction of the market performance. The Short Selling strategy lost 0.93%, thus signalling a reduced exposure after a disastrous beginning to the year.
The Convertible Arbitrage strategy (0.63%) continued to exhibit robust performance, even with the associated risk drivers weakening. The Distressed Securities strategy (0.93%) continued to show some alpha in addition to its profitable exposure to credit risk.
The global CTA strategy lost 1.94%, wiping out all the profits accumulated this year and more, thus confirming severe underperformance in 2012 (-0.59%: the worst amongst the major hedge fund strategies).
Funds of Funds, finally, only managed an unimpressive 0.11% gain, in contrast with the two rather good months previously.
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