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Global financial markets gained in March, extending the prior month gains despite rising bond yields and expectation for inflation. Equity markets posted gains across most sectors & regions, led by US large caps including Non-Cyclicals, Financials & Telecom, while regional gains were led by Germany, Italy & France. US interest rates increased on expectations for economic growth in 2H21, while the US Dollar strengthened against most currencies. Commodities posted mixed performance with declines led by Oil, Silver & Sugar, which were offset by gains in Aluminum. Hedge Funds and Risk Premia indices posted mixed returns with the HFRX Global Hedge Fund Index remaining basically unchanged while the HFRX Absolute Return Index gained +0.26% for March.
HFRX Equity Hedge Index posted a gain of +0.87% for March, from gains in Fundamental Value strategies and Market Neutral managers. The HFRX Fundamental Value Index gained +1.59% from gains in exposure to large-cap US & Global equities. The HFRX Market Neutral Index gained +1.29% for the month from gains in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Growth Index posted a decline of -0.40% from gains in exposure to Emerging Markets which was offset by positioning in mid-cap US equities.
HFRX Macro/CTA Index posted a decline of -0.18% for March, with gains in Systematic trend-following managers being offset by declines in Global Discretionary strategies. The HFRX Macro Systematic/CTA Index posted a gain of +0.41% as the US Dollar gained against most major currencies; Energy, Silver, and Copper posted declines, while Aluminum and Platinum rose and Agricultural commodities posted mixed performance. Macro Discretionary managers posted declines from exposure to opportunistic Fixed-Income and multi-asset strategies.
HFRX Event Driven Index posted a decline of -0.24% for March, due to declines from Merger Arbitrage managers and Special Situations equity strategies. The HFRX Special Situations Index posted a decline of -0.21% from mixed performance in exposure to Asian and Global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index declined -0.75% from declines in exposure to global M&A deals.
HFRX Relative Value Arbitrage Index posted a decline of -0.82% for March from declines in Convertible Arbitrage and Multi-Strategy managers. The HFRX Convertible Arbitrage Index declined -0.35% as US interest rates climbed gained and volatility decreased in the period. The HFRX RV: Multi-Strategy Index posted a decline of -0.86% for the month as global yields increased during the month.
Comments reference performance figures as of March 31, 2021