NEW YORK (HedgeWorld.com)–After two months of great performance, futures manager returns fell sharply in March to negative 7.63%, according to the S&P Managed Futures Index.
The S&P futures index had returned 14.37% in January and February, so its quarterly return is still a strong 5.64% Previous HedgeWorld Story.
S&P’s overall hedge fund index fared better in March with a return of negative 0.34%, according to the S&P Hedge Fund Index. That return was slightly behind the S&P 500 Index, which returned 0.84% in March, while the MSCI World Sovereign Index returned negative 1.13% in the same period.
Meanwhile, the S&P Arbitrage Index returned negative 0.14% in March and the S&P Event-Driven Index returned 0.72%. The S&P Directional/Tactical Index returned negative 1.59%.
Longer term, the S&P Hedge Fund Index finished the first quarter with respectable returns of 2.47%, garnering strong performance from all three of its sub indexes. The S&P Arbitrage Index returned 2.35% in the quarter, the S&P Event-Driven index returned 2.91%, and the S&P Directional/Tactical Index returned 2.17%.
The arbitrage index is composed of convertible arbitrage, fixed-income arbitrage and equity market neutral funds, and the event-driven index is composed of merger arbitrage, distressed securities and special situations funds. The directional/tactical category includes long/short equity, global macro and futures funds.