Credit Suisse /Tremont Hedge Fund Index - Dow Jones Hedge Fund Benchmarks - Frontier Capital Multi-Asset Platform Fund - Greenwich Global Hedge Fund Index - HFRX Global Hedge Fund Index - Lyxor Global hedge Fund Index

Final performance for the Credit Suisse/Tremont Hedge Fund Index was up 0.65% in March. Hedge funds posted slight gains for the month, bringing YTD returns to 0.85%. As markets continue to demonstrate volatility, hedge funds remain defensively positioned, which prevented some managers from fully capitalising on February's equity rally. However, despite March gains, most equity indices are down for the year, while hedge funds' returns to date have been positive with far less volatility. Emerging markets funds, in particular, performed well in March, returning 2.24% as hedge fund managers benefited from stronger commodities markets and government fiscal stimulus plans.

The Dow Jones Hedge Fund Merger Arbitrage Strategy Benchmark is the best performing at the end of March (1.52% for the month; 2.64% YTD). The Dow Jones Hedge Fund Event Driven Strategy Benchmark is the second best performing (0.30% for the month; 2.04% YTD). The Dow Jones Hedge Fund Equity Market Neutral Strategy Benchmark is the third best performing (-0.78% for the month; -1.90% YTD). The Dow Jones Hedge Fund Balanced Portfolio Index and the Dow Jones Hedge Fund Convertible Arbitrage Strategy Benchmark were not calculated. The Dow Jones Hedge Fund Strategy Benchmarks are designed as a measurement tool for individual hedge fund strategies and cover convertible arbitrage, distressed securities, equity market neutral, event-driven, equity long/short and merger arbitrage. The Dow Jones Hedge Fund Balanced Portfolio Index represents the overall benchmark.

The Frontier Capital Multi Asset Platform (MAP) Fund returned 2.2% in March 2009 with six of the eight asset classes showing positive returns. Emerging equities, global equities and commodities were the best performing asset classes, increasing by 14.4%, 6.4% and 4.3% respectively. The worst performing asset class was managed futures (-3.4%), followed by hedge funds (-1.5%). Over the five years to March 2009, the MAP strategy has generated 0.3% annualised returns with volatility of 8.8%. The MAP is an investable fund tracking eight global asset class indices, using an asset allocation inspired by US university endowments such as Harvard and Yale.

The FTSEhx Fund SPC posted a return of -5.25% in US dollar terms and -5.24% in sterling terms during March. The biggest contributors to the month's performance were the non-directional (-6.33%) and event-driven (-4.37%) styles, due largely to the performance of managers in the equity arbitrage (-13.02%), distressed and opportunities (-6.55%) and equity hedge (-4.78%) strategies.

Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) advanced in March and moved into positive territory for the year. The GGHFI returned 1.50% while the Greenwich Composite Investable Index (GI2) declined 3.17% in March compared with global equity returns in the S&P 500 Total Return (8.76%), MSCI World Equity (7.24%) and FTSE 100 (2.51%) equity indices. Sixty per cent of constituent funds in the GGHFI ended the month with gains. The majority of hedge funds were able to move up with equity markets in March. Most managers tracked in the index are now positive on the year.

Hedge fund returns were essentially flat in March, reports Hedge Fund Research. The average fund remains up 0.68%, thanks entirely to a strong January. The global index fell 0.38% in February. Distressed securities funds were the worst performers in March (-2.72%; -5.16% YTD). Systematic diversified funds also lost substantial ground (-2.35%; -2.23% YTD) wiping out its YTD gains, as did macro funds (-1.98%; -0.62% YTD). Despite the losses (11 out of the 18 strategies tracked by the HFRX indices were in the red last month), the majority of individual strategies have maintained positive returns this year. Just six are down in 2009. Fundamental value funds jumped 2.4% (0.83% YTD), followed by equity hedge funds which added 2.21% (0.76% YTD). Market directional funds rose 1.52% (3.44% YTD), convertible arbitrage funds 1.16% (9.43% YTD) and merger arbitrage funds 0.93% (1.69% YTD).

The Lyxor Global Hedge Fund index was down 0.38% in March (42bp YTD). Long-bias equity funds gained 4.3%, slightly underperforming equity markets. In the fixed-income segment, relative value strategies continued to outperform. Gains were seen for fixed-income (3.7%), convertible (78bp) and credit arbitrage strategies (1.1%). The environment remained tough for CTA. Long-term models (-2.0%) suffered from their short equity exposure. Long positions on energy contracts offset gains from short interest rate futures positioning. CTAs (-3.2%) were unable to adapt to higher intra-day ranges. Global macro managers (0.6%) were well exposed on interest rate and equity futures. In the event-driven strategy spreads significantly tightened, helping merger arbitrage managers gain 0.8% and special situations 1.1%.