The March 2010 returns for investable indexes, including Credit Suisse/Tremont Hedge Fund Index, Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Hedge Fund Research Indexes and Lyxor Alternative Index.

Investable indexes (PDF)

Credit Suisse/TremontThe Credit Suisse/Tremont hedge fund index rose 2.22% in March, continuing an upwards trend for the year to date (YTD). Dedicated short bias was the only strategy to post negative returns, ending March down 6.61% and falling 9.36% YTD. Managed futures returned 4.25%, the best individual strategy performance for the second month running. It was closely followed by 3.89% for emerging markets. Long/short equity (2.99%) and convertible arbitrage (2.06%) also had strong months. Multi-strategy funds returned 1.44% and global macro was up 0.38%. Equity market neutral continued to claw back performance after a weak start to the year, returning 0.54% in March.

Dow Jones
The Dow Jones hedge fund equity long/short strategy benchmark up 2.76% was the best performing in March as well as in the first quarter of 2010, bringing in 3.61% YTD. The Dow Jones hedge fund event-driven strategy benchmark was the second best performing on a monthly basis, up 2.35%. The merger arbitrage strategy benchmark gained 1.65% in March. The Dow Jones hedge fund balanced portfolio index, the Dow Jones hedge fund distressed securities strategy benchmark, the Dow Jones hedge fund convertible arbitrage strategy benchmark and the Dow Jones hedge fund equity market neutral strategy benchmark were not calculated for March.

Frontier Capital
The Frontier Capital Multi Asset Platform (MAP) Fund returned 2.9% in March 2010 with seven of eight asset classes showing positive returns. Emerging equities (8.1%), global real estate (7.2%) and global equities (6.5%) were the best performing asset classes. The worst performing was commodities (-0.1%), followed by global bonds (0.2%). Over the five years to March 2010, the MAP strategy has generated 3.3% annualised returns with volatility of 9.5%. The MAP Fund is an investable fund tracking eight global asset class indexes, using an asset allocation inspired by US university endowments such as Harvard and Yale.

Greenwich
Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) returned 2.9% in March. The group of Greenwich Investable Indexes all made positive returns. The investable index with monthly liquidity returned 1.52% in March, while the quarterly liquidity index was up 1.46%. The investable futures index was the best performing individual strategy, returning 3.03%. Event-driven was close behind with 2.44%. Long/short credit was up 1.61% and long/short equity made an almost identical return rising 1.63%. The macro index returned 1.31% in March while arbitrage (0.89%) and equity market neutral (0.59%) were also in positive territory.

HFRX

The HFRX global hedge fund index returned 1.38% in March, a significantly better performance than in April. Equity market neutral was the only individual strategy to return a loss in March, with -0.04%. In contrast, distressed securities returned 3.14% and convertible arbitrage 2.37%. Event driven was up 1.75% and relative value funds were up 1.22%. Equity hedge (1.13%), macro (1.07%) and merger arbitrage (0.73%) all had positive months.

Lyxor
The Lyxor Global Hedge Fund index was up 2.1% in March. Generally quiet and trending markets yielded a robust month of gains for many hedge fund managers. Managers with a long bias toward riskier assets benefited more than their more conservative peers. Short-term CTAs rebounded from their recent slide, gaining 1% on the back of steadily rising equity markets. Similarly, long-term CTAs generated significant performance numbers, rising 4.8%. The Lyxor global macro index was up 1.3% on the month although performances varied widely across managers. The strategy contains managers with a variety of opinions on the outlook for the global economy and the returns reflect this. The Lyxor distressed index rose 0.6% on the back of defaulted bond positions and restructurings. The Lyxor merger arbitrage index continued its steady rise by returning 1.6% and special situations managers benefited from strong performance in both equity and credit markets to return 2.7%.