NEW YORK (HedgeWorld.com)–Hedge funds in the S&P Hedge Fund Index produced returns of negative 0.12% in March, bringing first quarter returns to 1.89%.
The negative performance came from two of the three Standard & Poor’s Hedge Fund sub-indexes, S&P Arbitrage Index and S&P Event-Driven Index.
The Arbitrage Index returned negative 0.61% in March, sharply reducing its year-to-date return to 0.6%. The negative results in March for the arbitrage index were attributed to equity market neutral and to fixed-income arbitrage, which suffered from sharp changes in mortgage prepayment rates, according to a statement from Standard & Poor’s. The other major strategy in that index is convertible arbitrage.
The S&P Event-Driven Index fell 0.21% in March and is up 1.87% year-to-date through March. The Event-Driven index includes merger arbitrage, distressed and special situations strategies.