All hedge fund strategies posted negative returns in March. Convertible arbitrage registered the most severe loss with -3.26%.
Despite the positive impact of bond markets, performance of the convertible arbitrage strategy appears to have been strongly penalised by the negative value of credit spread. Equity market neutral and CTA global exhibited a limited loss, compared with other strategies, with returns of -0.60% and -0.63%, respectively.
CTA global seems to have benefited from the positive performance of the bond markets, which partly compensates for the slight decrease in commodity prices.
All three equity-oriented strategies posted negative returns, which can be partly explained by the fall in the stock markets, to which long/short equity appears to be the most sensitive with a return of -2.31%. Part of the poor performance of event driven can also be attributed to the negative value of credit spread.
Market neutral limited its loss, as its sensitivity to stock markets is much lower than that of the two other strategies.
Véronique Le Sourd is a senior research analyst with the EDHEC Risk and Asset Management Research Centre
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