Opalesque Industry Update - GAM's Hedge Fund Performance Update finds that several trends in risk markets continued in March with positive performance in equities, notably in the US and Japan, continued strength in the US dollar and another month of weakening in the Japanese yen.|
Hedge funds enjoyed the third consecutive month of positive performance for the year, with the HFRX Global Hedge Fund index up 0.7% for March and up 3.1% for the quarter. Gains were led by equity-centric strategies, with the HFRX strategy indices for event-driven managers and equity hedge managers up 5.3% and 5.1%, respectively for the quarter. Global macro and CTA strategies continued to deliver mixed results with some negative global macro results offsetting some strongly performing CTA managers to deliver a flat net result for the quarter for the HFRX Macro/CTA index. Relative value managers started the quarter strongly, but were subsequently only marginally positive in February and March, with the HFRX Relative Value index ending the quarter up 1.7%.
Anthony Lawler, Portfolio Manager at GAM, said: “March was another encouraging month for hedge funds with broad-based positive attribution. Many trend following CTA managers had a positive month with performance coming from long positions in the US dollar, Australian dollar, US and Japanese equities, and short positions in the Japanese yen. Equity hedge and event driven managers continued to benefit from exposure to developed market equities and to certain corporate activities and balance sheet restructurings. Within relative value and credit strategies, after a strong January, we saw continued consolidation in credit with generally small but positive contribution from managers in this space.”
“The Cyprus crisis did not cause material broad-based pain for hedge funds in March. However there is concern that this crisis is yet another symptom of the unresolved issues in the European Union, and as a result managers remain generally under-exposed to Europe. More globally, hedge fund managers are aware of the seasonal weakness in equities that we often see in a second quarter, especially after a strong start to the year. That said, equity hedge managers are generally positioned for a continuation of the strength in equities in the US and Japan, while remaining underexposed to European-centric names. In other strategies, managers continue to be positive on the opportunities in currencies and credit from both the long and the short side. Overall many managers enter the second quarter with gross exposure towards the upper end of their respective typical ranges.”