Three out of five hedge fund strategies post negative returns

Date: Tuesday, April 14, 2009
Author: Hedgeweek.com

Three of the five hedge fund strategies published by Dow Jones Hedge Fund Indexes posted negative returns for the month of March.

The two strategies posting gains for the month also ended the first quarter in positive territory.

Merger arbitrage led the way, returning 1.52 per cent for the month, and pushing its YTD gain to 2.64 per cent. Event driven gained another 30 basis points in March and is in a close second for the year with YTD performance of 2.04 per cent.

On another positive note, both the equity market neutral and equity long/short benchmarks resumed publication at the beginning of the month. The benchmarks resumed as a result of lifting the temporary risk restrictions imposed on certain managers of these two strategies by the investment manager of the managed account platform that supports the Dow Jones Hedge Fund Strategy Benchmarks.

The two strategies posted small losses for the month as equity market neutral was down -0.78 per cent and equity long/short lost -1.31 per cent. Including the price history of these two benchmarks during the suspension period, both strategies are down for the year returning -1.90 per cent and -0.62 per cent, respectively.

Lastly, distressed securities continued to struggle in March, falling 4.39 per cent and further dropping its YTD performance to a loss of -9.31 per cent.

Convertible arbitrage remained suspended through the month of March; it began its suspension on 2 January 2009.

On a float-adjusted basis, the Dow Jones US Total Stock Market Index, the only broad measure of the domestic equity market, returned 8.70 per cent (8.77 per cent on a full-cap basis) in March, decreasing its YTD loss to -10.56 per cent (-10.11 per cent on a full-cap basis).

The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, lost -0.59 per cent this month pulling its YTD to a loss of -1.87 per cent.

Finally, the Dow Jones Global Total Stock Market Index, the broadest measure of global equity markets, performed well in March with a return of 8.36 per cent, decreasing its YTD decline to -10.28 per cent for 2009.