Flat EH index return in March masks broad dispersion

Thu Apr 14, 2011



European hedge funds appear to have come through a torrid month in March largely unscathed, although the flat overall index performance masks very broad dispersion in terms of individual fund returns - with many big outliers on both the positive and negative sides.

With numbers for March now in for about 75% of the funds in the EuroHedge database, the EuroHedge Composite index is showing a provisional median return of just -0.05% for March - after a month in which global markets were buffeted by events in Libya and the Arab world, the disasters in Japan and an array of macro-economic concerns.

The worst performing strategy, as expected, was managed futures - where the median is showing a loss of 2% on the month at this point - while the median return for long/short European equity is also down on the month.

Convertible arbitrage, equity market-neutral/quant, credit, currency and emerging market debt...

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