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Performance Slips in March for S&P Hedge Fund Index

By Staff Writer

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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.

But the S&P Directional/Tactical Index turned in positive results in March of 0.45% despite poor performance from the component strategy of managed futures. Strategies in the Directional/Tactical index that performed well were long/short equity and global macro, both of which benefited rising prices in stocks and commodities in Japan, according to S&P. For the first quarter, the Directional/Tactical index was up a solid 3.19%.

A separate but related index, S&P Managed Futures Index, returned negative 1.34% in March and was up a whopping 8.45% in the first quarter after a strong February (see ).

The S&P 500 Index returned negative 1.64% in March and is up 1.29% in the year-to-date period.

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