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

Dow Jones
The Dow Jones Credit Suisse Hedge Fund Index scraped a positive 0.11% in March, underperforming its February return of 1.38%. This may have been a result of hedge funds falling approximately 1% mid-month due to the aftermath of the Japanese tsunami before rebounding to recover losses. Several strategies finished the month down with the worst performance coming from managed futures, down 2.89%. Dedicated short bias also suffered a difficult month, down 1.82%. Fixed income arbitrage and event driven also fared badly, down 0.24% and 0.82% respectively. The strongest performer was equity market neutral, up 2.03%, improving on its February negative return of 0.07%. This was followed by emerging markets, up 1.87%, and global macro, up 1.05%.

Frontier Capital
The Frontier Multi Asset Platform (MAP) Fund returned a negative 0.5% in March 2011 with five out of eight asset classes showing negative returns. Emerging equities was the best performing asset class, up 5.9%, followed by commodities, up 1.5%, and emerging bonds, up 1.2%. The worst-performing asset class was global real estate, down 1.6%, followed by global equities and managed futures, down 1.3% and 1.0% respectively. Over the five years to March 2011, the MAP strategy has generated 1.8% annualised returns with volatility of 9.5%. The Frontier Multi Asset Platform (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.

HFRX
The HFRX Global Hedge Fund Index declined 0.88% in March. The Macro Index posted a rise of 0.38%, the fourth consecutive positive month. Gains from discretionary strategies partially offset losses in systematic trend followers. The Systematic Diversified Index posted a decline of 1.59%, with declines in long equity index positions only partially offset by gains in currency, commodity and fixed income. The Event Driven Index was up 0.18% for the month. Gains in European M&A and equity special situations offset weakness in distressed and credit arbitrage for the month. The Special Situations Index posted a gain of 0.42% while the Distressed Securities Index and the Merger Arbitrage Index declined by 0.37% and 0.09%, respectively. The Relative Value Arbitrage Index posted a decline of 0.42% for March with mixed performance across multi-strategy credit and convertible arbitrage strategies. The Convertible Arbitrage Index posted a narrow gain of 0.01%, while the RVA: Multi-Strategy Index posted a decline of 0.46%. The Equity Hedge Index posted a decline of 3.13% for the month in a volatile and widely dispersed month for equity markets. The Fundamental Value Index and the Fundamental Growth Index posted losses of 4.48% and 0.54%, respectively. The Equity Market Neutral Index posted a gain of 1.55%.

Lyxor
The Lyxor Global Hedge Fund Index lost 0.3% in March. Futures traders focused on trends ended the month down 1.2%, according to the Lyxor Long-Term CTA Index. Long energy positions worked out well when crude oil hit over $100 a barrel and managers generally posted positive returns. The Lyxor Short-Term CTA Index gained a slight 0.1% while the Lyxor Global Macro Index posted a 0.5% decline. Equity-oriented managers with the least directionality in their portfolios fared best among the Lyxor L/S Equity Indexes, with the Market Neutral Index up 0.6% and the Statistical Arbitrage Index up 1.3%. The L/S Equity Long Bias Index declined 0.1% and the L/S Equity Variable Bias Index gained 0.3%. Event driven managers focused on merger arbitrage gained a modest 0.1%. Many special situations managers have significant financial, energy or basic materials sector exposure and the difficult market for these cyclical exposures dragged down the strategy. The Lyxor Special Situations Index declined 1.5% on the month while the Lyxor Distressed Index gained 0.3%. Arbitrage and relative value managers fared well. The Lyxor Convertible Arbitrage Index gained 0.8%. The Lyxor Fixed Income Arbitrage Index gained 0.3%. The L/S Credit Index posted a gain of 0.2% in March.