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HFR: Hedge funds post strong first-quarter return

Hedge fund returns in aggregate were positive in the quarter ended March 31 with the HFRI Fund Weighted Composite index gaining 2.34% and the HFRI Asset Weighted Composite index returning 1.72%.

By contrast, returns of the indexes for the three months ended Dec. 31 were 1.17% for the Fund Weighted Composite index and 2.12% for the Asset Weighted Composite index. Full-year returns of the indexes as of Dec. 31 were 5.43% for the Fund Weighted Composite index and 2.84% for the Asset Weighted Composite index. The 12-month returns through March 31 were not provided.

The HFRI Fund of Funds Composite index returned 2.03% for the quarter ended March 31.

The HFRI indexes are produced by Hedge Fund Research.

All but one major hedge fund strategy category tracked by HFR produced positive quarterly returns. The HFRI Equity Hedge (Total) index returned 3.62%; HFRI Equity Hedge (Total) Asset Weighted, 3.19%; HFRI Event-Driven (Total) index, 2.23%; HFRI HFRI Event-Driven (Total) Asset Weighted index, 2.65%; HFRI Relative Value (Total) index, 2.46%; HFRI Relative Value (Total) Asset Weighted index, 1.86%; HFRI Macro (Total) index, -0.15%; and HFRI Macro (Total) Asset Weighted index, 0.47%.

Hedge fund investment growth in the first three months of the year added to “a period of extended positive performance that has seen industry returns climb for five consecutive months and 12 of the last 13 months,” the news release accompanying HFR's index data said.

"Hedge funds gained in March as the Federal Reserve proceeded with a widely anticipated interest rate increase concurrent with a weakening of the Trump trade and as U.S. equities concluded a strong first quarter with mixed performance in March," said Kenneth J. Heinz, HFR's president, in the release.

"In a similar manner to the 2016 intrayear market cycles that were driven by Brexit and the U.S. election, 2017 financial market performance is likely to be driven by similar intrayear cycles, including upcoming European elections, with these contributing to and creating opportunities for hedged long/short strategies across different asset classes,” Mr. Heinz said.