RBC Capital Markets has reported that the RBC Hedge 250 Index experienced a net fall of 2.51 per cent in March, bringing the cumulative decline of the index for the first quarter of 2008 to 3.43 per cent. This follows a positive return for February that RBC has finalised at 1.09 per cent.
The RBC Hedge 250 Index is an investible benchmark of the performance of the hedge fund industry comprised of more than 250 hedge funds. The universe on which the index is based currently consists of 5,874 single-manager hedge funds with aggregate assets under management of USD1.63trn.
The returns reported by RBC are estimated; finalised figures are due to be published around the middle of May. Between its establishment on July 1, 2005 and the end of February this year, the RBC Hedge 250 Index delivered an annualised net return of 8.94 per cent.
The provisional results for March show steep declines for mergers and special situations (4.87 per cent), macro (4.50 per cent) and convertible arbitrage (4.23 per cent). Fixed-income arbitrage, equity long/short and credit saw falls of 2.16, 1.98 and 1.64 per cent respectively, while managed futures was the only strategy to gain in March. Multistrategy funds were down an average of 2.91 per cent.
Multistrategy funds declined by 7.29 per cent during the first quarter, a fall matched only by mergers and special situations with 7.14 per cent. Equity long/short and convertible arbitrage lost 3.46 and 3.44 respectively, while equity market neutral slipped 3.07 per cent, fixed-income arbitrage 2.74 per cent, and credit 2.47 per cent. However, macro strategies gained 0.88 per cent over the first three months of the year and managed futures was up 8.96 per cent.
For the past 10 years, RBC's Alternative Assets Group has created structured products based on portfolios of hedge funds and holds investments in over 1,200 hedge funds. RBC Capital Markets, the corporate and investment banking arm of RBC, is active in debt origination, sales and trading, foreign exchange, infrastructure finance, structured products, metals and mining, and energy. Its North American platform includes equity, underwriting, sales, trading and research businesses and a US middle market investment banking franchise.