Hedge Funds Extend Gains In March

by Phillip Morton, Investors Offshore.com

11 April 2007

Hedge funds have delivered positive returns to investors for the ninth consecutive month, according to industry trackers.

Flash estimates from the Barclay Hedge Fund Index, which tracks more than 6,000 hedge funds and managed futures programs, show that the index gained 0.88% last month as equity prices rose.

"Equity prices in most developed countries fared well in March, as national indices rose in all major markets except Japan and Ireland,” says Sol Waksman, founder and president of The Barclay Group.

“Fears of a hedge fund blow-up stemming from problems in the US sub-prime lending sector seem to have been unfounded.”

Since July of 2006, the Barclay Hedge Fund Index has gained 9.43%, an average of slightly more than 1.00% monthly return for the past nine months.

“Although US equities have outperformed hedge funds during the past three quarters, 13.53 percent versus 9.43 percent, hedge funds provided a higher risk-adjusted return as measured by Sharpe Ratio, 3.56 versus 2.71,” says Waksman.

Sixteen of Barclay’s 18 hedge fund indices showed gains in March. Barclay’s Emerging Markets Index rose 1.80%, Event Driven was up 1.54%, European Equities grew by 1.51%, Fixed Income Arbitrage was up 1.27%, and Multi Strategy gained 1.22%.

Two hedge fund indices lost value in March. Pacific Rim Equities slid 0.18% and Global Macro was down 0.66%.

“Equity market declines in Japan, Thailand and Taiwan pulled down the Pacific Rim sector this month,” says Waksman.

For the first three months of 2007, Barclay’s Merger Arbitrage Index has gained 5.25%, Event Driven 5.04%, Fixed Income Arbitrage 4.09%, Emerging Markets 4.06%, and Multi Strategy 3.90%.

The Barclay Hedge Fund Index is up 2.88% for the year.

Meanwhile, preliminary data released by Greenwich Alternative Investments show that the Greenwich Global Hedge Fund Index yielded 0.98% in March, for year-to-date returns of 2.82%. Through March, the Global Index has outperformed the S&P 500, MSCI World Equity, and FTSE 100 Indices, which have respective March returns of 1.12% (0.64% YTD), 1.59% (2.06% YTD), and 2.21% (1.40% YTD).

Based on the preliminary results, 17 of 18 primary and sub-strategies followed by the Greenwich Global Hedge Fund Index generated positive year-to-date returns, with 14 out of 17 up 2% or more. Down near 2% in March, the one exception is Futures, which lost roughly -2.5% in the first quarter, although Futures funds represent less than 10% of Global Index constituent funds.

Greenwich said that updated Index results for March 2007, based on a larger sample of funds, will be released in mid-April.

Recommended