NEW YORK (HedgeWorld.com)--The warming weather, along with rising commodities prices, coaxed growth in managers' portfolios as managed futures strategies proved the most fertile ground for hedge fund returns in both the Credit Suisse/Tremont Hedge Fund Index and the FTSE Hedge Global Index. Nearly all categories in both indexes showed increases for the month, with managed futures and equities managers posting the largest gains.
For the Credit Suisse/Tremont index, the month's solid 1.82% return followed a February that brought marginal increase of 0.34%. A weaker U.S. dollar and a strengthening commodities market, especially in base metals, helped managed futures strategies return 4.08% in March, according to Tremont Capital Management Chief Executive Robert I. Schulman. Year-to-date, however, the strategy remains at 4.11%, following a ?? 1/2 2.62% tumble in February.
The month's next-best performing strategies--long/short equity and multi-strategy--returned 2.45% and 2.05%, respectively. Long/short equity managers are up 6.88% year-to-date, while multi-strategy managers are at 5.59%.
"The equity market strengthened as a four-year high in consumer confidence, better than expected employment figures, and extensive corporate activity contributed to the Long/Short Equity sector's positive performance of 2.45% in March," said Oliver Schupp, president of Credit Suisse/Tremont Hedge Fund Index, in a news release.
Convertible arbitrage managers in the Credit Suisse/Tremont Index continued to write a new story for themselves in 2006, adding to positive January and February performance with an increase of 1.48% in March; year-to-date the strategy is up 5.51%. Emerging markets, the category that led February's results with a 1.56% increase, returned 1.37% in March and continues to lead the field in year-to-date earnings with 8.89%.
Nearly all other strategies built on February's meager returns. Equity market neutral managers returned 1.62% in March, following 0.5% in February; event-driven managers returned 1.5%, following 0.34% the previous month; and fixed-income arbitrage returned 0.57%, following 0.06% in February. Global macro, however, slipped to 1.06% from February's 1.23%.
Year-to-date, equity market neutral is up 3.56%; event-driven, 4.81%; fixed income arbitrage, 2.06%; global macro, 5.75%.
The month's lone negative strategy was dedicated short bias, which lost 3.32% following a 0.4% return in February. It is also the only category negative for the year, at ?? 1/2 5.83%.
The rising tide in March also lifted the boats of the Credit Suisse/Tremont index benchmarks. The S&P 500 DRI Index returned 1.24% in March, following a 0.27% gain in February; year-to-date that index is up 4.21%. The FTSE All World Index rose 2.21% in March after being negative 0.05% in February. It is up 7.27% year-to-date.
The picture was similar for Credit Suisse/Tremont's Investable Hedge Fund Index, which finished the month with a 1.53% increase and is positive 3.68% year-to-date. Confirmed performance for February was positive 0.26%. Managed futures and long/short equity sectors led here as well, with gains of 3.19% and 2.81%, respectively.
Managed futures lead FTSE index too
Directional and event-driven styles were the biggest contributors to the FTSE Hedge Global Index's 1.05% increase in March. Rising oil prices helped the managed futures strategy return 2.9%, making it the leader for the month, while the other two strategies in the index's directional category negated one another's performance--equity hedge managers posted a 1.6% gain as global macro managers showed a 1.6% loss.
Year-to-date, equity hedge remains the index leader, up 5.1% since the beginning of the year. Managed futures and global macro strategies are positive 2.3% and 2.9%, respectively.
The FTSE Hedge Global Index's event-driven category returned 0.9% in March, with merger arbitrage managers contributing 0.9% and distressed and opportunities managers contributing 1%. Year-to-date the category is positive 3.9%.
Non-directional strategies as a whole were up 0.7% for March. Equity arbitrage led with 1.3% for the month and 4.2% for the year so far, while convertible arbitrage managers returned 0.9% for the month and fixed-income relative value managers returned 0.3%. Year-to-date, those strategies are positive 3% and 1.1%.
Contact Bob Keane with questions or comments at firstname.lastname@example.org.