Hedge funds produced a strong gain in the first three months of 2015, with the HFRI Fund Weighted Composite index returning 2.4% and the HFRI Fund of Funds Composite index, 2.5%.
Returns of Hedge Fund Research’s aggregate hedge fund indexes matched or topped those of major market indexes for the quarter ended March 31, including the S&P 500, which returned 0.95%; MSCI ACWI, 2.4%; and Barclay U.S. Government Credit/Bond, 1.8%.
The best-performing strategy was the HFRI EH: Multi-Strategy index, which returned 5.7% in the first quarter, followed by the HFRI Macro: Systematic Diversified index, 5.1%; HFRI EH: Sector-Technology/Healthcare index, 4.3%; and 3.5% each for the HFRI EH: Sector-Energy/Basic Materials index and HFRI Macro: Active Trading index.
The worst-performing index was the HFRI EH: Short Bias index, which returned -0.9% during the three months ended March 31, followed by the 0.1% return of the HFRI RV: Yield Alternative index; HFRI ED: Distressed/Restructuring index, 0.6%; HFRI ED: Credit Arbitrage index, 0.7%; and HFRI Macro: Commodity index, 1.1%.
HFR’s broad Macro (Total) index returned 3.4%, “led by trend following, quantitative commodity trading adviser (CTA) strategies,” HFR researchers wrote in their latest hedge fund performance report, released Wednesday.
In fact, hedge funds notched their highest quarterly performance since 2013, said Kenneth J. Heinz, HFR’s president, in the report.
“The environment for hedge fund strategies, which opportunistically capture risk premia across asset classes, has improved recently as beta-driven U.S. equity gains of the prior three years have moderated,” Mr. Heinz said.
He added that hedge funds are likely to “extend their recent gains through midyear” as expectations are that the investment environment will continue to be conducive to macro hedge fund strategies and trading opportunities in oil, currency and merger and acquisition strategies.