NEW YORK (HedgeWorld.com)–The Credit Suisse First Boston/Tremont* Hedge Fund Index stayed in positive territory returning just 0.26% for March, while dedicated short-bias managers gained 1.23% and managed futures funds, hard hit by war-related volatility, pulled it down with a 6.1% loss.

Despite the loss, managed futures are still the winner for the year, up 6%. “Over the past 12 months, managed futures funds have returned 31.36%,” said Robert Schulman, co-chief executive officer of Tremont Advisers, in a statement.

“Markets were very volatile as the war in Iraq resulted in a reversal of the initial sell-off,” said Oliver Schupp, president of Credit Suisse First Boston Tremont Index LLC. “Seven out of 10 hedge fund strategies provided positive returns despite a very difficult trading environment and increased concerns about the economic recovery.”

Event-driven funds, consisting of distressed, event-driven multi-strategy and risk arbitrage managers, were the second best-performing category after short biased, gaining 1.01%. Emerging markets were up 1%, convertible arbitrage 0.95%, equity market neutral 0.79%, multi-strategy 0.76%, long/short equity 0.43% and fixed-income arbitrage 0.42%. Global macro went down 0.66% during the month.

Overall the benchmark is up 2.23% for the year. March net asset value was 254.04, representing a 154% return for the 111 months since inception on January 1, 1994.

The index consisted of 415 funds as of March 1, 2003, down from 417 as of Feb. 1, 2003. Two funds were dropped: Regal Trading Partners Ltd., which liquidated, and Chesapeake Select Ltd., which is no longer reporting. In addition, Steel Partners II LP was removed from the risk arbitrage sub-category and added to the multi-strategy event-driven category.

The measure is calculated from the TASS database of more than 2,600 hedge funds. It includes both open and closed funds, located in the United States and offshore, but no funds of funds. In order to qualify for inclusion, a fund must have at least US$10 million under management, a 12-month track record and an audited financial statement.

*Tremont Advisers Inc., Rye, N.Y., is a strategic partner of, and a minority investor in, HedgeWorld.

CKurdas@HedgeWorld.com