Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index will finish up 0.86 per cent in March, based on 55 per cent of assets reporting.
Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index will finish up 0.86 per cent in March, based on 55 per cent of assets reporting.
March started off with a challenging week for equity markets in which the S&P 500 reached a 12-year low and was down 57 per cent from its October 2007 peak, helping erase USD37trn of equity value globally, according to Bloomberg.
Positive news regarding January and February revenues from Citibank and other financial institutions sparked three-week 20 per cent+ rallies in the S&P 500 and Dow Jones indices. These were accompanied by strong equity rallies worldwide, and were further stoked by positive revenue announcements from other major banks, as well as US Treasury Secretary Timothy Geithner’s proposal to buy toxic assets from financial institutions, and other upbeat indicators.
Long/short equity managers had a wide dispersion in performance since many were defensively positioned going into the rally, and their overall performance of 2.3 per cent was low relative to the equities’ returns, such as the 7.2 per cent performance of the MSCI World Index.
Dedicated short bias was down 4.9 per cent for the month, after having two strong months in January and February. Multi-strategy funds captured upside participation with a return of 1.6 per cent for the month.
Bond markets were buoyed by quantitative easing announcements both in the UK on 5 March and in the US on 18 March. The ten-year US treasury yield had a one-day change from 3.0 per cent to 2.5 per cent, but ended the month at 2.7 per cent with the volume of several auctions of new issuances bringing yields back to half of their initial rally. The ten-year treasury, which had its all time low of 2.0 per cent in December, has averaged 4.3 per cent over the past five years. The fixed income arbitrage strategy was a beneficiary, ending the month up over 2.6 per cent.
Global macro is expected to extend its winning streak to five consecutive positive months returning 0.5 per cent in March. The strategy showed versatility by doing well in January and February when equities were significantly challenged, as well as in a month in which equities had a 20 per cent+ rally.
Commodities indices were up despite a five per cent correction in oil prices at the end of the month (oil is up 17 per cent for Q1 2009, however). Gold sold off as the equity rally brought optimism to the market and finished the month at USD917 a Troy ounce.
Estimates are based on 55 per cent of assets reporting; final March performance will be published on 16 April.
