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"During the global financial crisis, financial systems were at risk of failing, whereas in March and ongoing, we face larger failures. With the understanding that these are delicate times for all, the following is a look at hedge fund performance amid a global crisis," said Peter Laurelli, CFA, eVestment Global Head of Research.

Hedge funds lost an average of -7.25% in March 2020 bringing YTD returns to -9.87%. March's average loss was the second largest on record, and largest since the height of the global financial crisis in October 2008 when the average fund lost between 8%-9%.

Funds focused on securities within the corporate capital structure, particularly concentrated long-biased strategies (namely activists) and credit strategies (namely distressed), posted the largest average losses in March. Managed futures, market neutral equity and even quantitative directional equity strategies performed relatively well.

Managed futures strategies (not all, but in aggregate) have gone through a prolonged difficult stretch since 2016, but this year has been a different story. Often having a goal of producing returns with low correlations to global markets and able to fair well in difficult times, this year many managed futures funds are doing just that.

The universe of funds was the only primary strategy with positive average returns in March and had by far the best proportion of products able to produce gains, with 53% of managers positive in March. Additionally, some of the largest funds in the space have produced very good results.

Macro funds produced a very wide range of results in March, even among the largest managers illustrating the variety of thematic approaches.

"Too often we see a strategy's returns as being indicative of what to expect from any given fund, but over the course of March we saw just how wrong that assumption can be," Peter said.

While returns from the largest macro managers averaged -3.78%, within that group of large funds there were gains and losses that were two or three times larger.

There were highlights and lowlights to be found in virtually every segment of the industry in March. It is now more important than ever to think of the industry not as a whole, but as a vast group of individuals with discretion, and programs and algorithms with differing and evolving rules. In a group of individuals operating in a pool of markets, some will navigate successfully, and some will not.

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