GLOBAL - Debt based strategies led first quarter hedge fund performance reflecting narrower credit spreads, new data from Chicago-based Hedge Fund Research shows.
HFR’s distressed securities index and the HFR convertible arbitrage index were up 4.49% and 4.60% respectively for the first three months of the year. Other debt-based strategies performed well, including high-yield (3.57%) and mortgage-backed strategies (2.40%). The largest single-strategy gain was in emerging markets which garnered approximately US$450m for the quarter.
Pre-war investor jitters possibly accounted for the US$2.2bn outflow in equity hedge strategies while a continued slowing of dealflow appeared to have caused a US$3.2bn leak in event driven strategies.
The pull-back in equity-related allocations also resulted in a slight downturn in overall hedge funds assets to US$618bn from US$622bn at year-end 2002.
The HFRI Fund Weighted Composite was up slightly at 0.81% on the quarter while the HFRI Fund of Funds Composite Index was up 1.05% during the same period.
The report also highlighted how the hedge fund industry experienced some consolidation as the number of funds decreased from 5,379 at year-end 2002 to 5,329 in Q1 2003.
Some of the net outflow of assets may have been due to the difficulty of reallocating the assets in those 50 liquidated funds, explained HFR president Josh Rosenberg.
“The first quarter saw something of a pause in the rapid asset accumulation seen by hedge funds,” he said.
“However, on a year-over-year basis, the hedge fund industry continues to grow at an impressive rate. in terms of asset flows, the category to note is fund of funds, which registered an estimated US$5bn net outflow of assets during the quarter, marking a slight downturn after several years of rapid growth.”
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