Standard & Poor's Index Shows Hedge Funds Outperform Equities in Q1 NEW YORK, April 5 /PRNewswire/ -- March hedge fund performance as measured by the Standard & Poor's Hedge Fund Index (S&P HFI), showed an unusually close correlation to equity performance, ending the month down 0.12% under increased geopolitical concerns and volatility in equity markets. The S&P HFI Q1 and year-to-date return was 1.9%, compared to a 1.3% return on the S&P 500. The Event Driven Index, which includes managers in the Distressed, Merger Arbitrage and Special Situations strategies, was down 0.21%. "With widening credit spreads in the wake of Madrid bombings on March 11, we tracked a negative impact on Distressed positions," said Charles Davidson, senior hedge fund specialist, Standard & Poor's. "We also saw a continuation through March of increasing deal volumes in Merger Arbitrage funds, however tight spreads have somewhat limited profit potential," he added. The Directional/Tactical Index, the only sub-index to show a gain with 0.45% for the month and 3.2% for the year, showed little net movement as currency and metals gains by Macro traders were offset by losses from reversals in fixed income and currency cross positions by Managed Futures funds. The Equity Long/Short basket was up slightly from a net long exposure in the rising Japanese market. Macro benefited from long exposure to metals and short financial futures in Japan where investor confidence in the local economy continued torise. The Arbitrage Index was down in March losing 0.61% for the month as continued underperformance by Equity Market Neutral and a backup in prepayment rates after falling yields earlier in the month adversely affected mortgage traders in the Fixed Income Arbitrage strategy. The S&P Managed Futures Index fell in March in conjunction with the S&P 500, a somewhat unusual correlation as the S&P MFI has historically tended to show a fairly strong negative correlation to falling equity markets. "Generally speaking, exogenous shocks to equity markets, such as significant geopolitical events, are beneficial to Managed Futures programs. In this case, performance suffered due to a temporary flight to quality in the fixed income market and violent reversals in currency markets," said Davidson. S&P Hedge Fund Index Performance for March 2004 Ticker Index Index MTD QTD YTD 3 5 Values(1) Years(2) Years(2) SPHG S&P Hedge Fund Index 1,150.13 -0.12% 1.89% 1.89% 24.88% 64.66% SPHGARB S&P Arbitrage Index 1,038.82 (0.61%) 0.60% 0.60% 18.59% 55.27% SPHGDIR S&P Directional/ Tactical Index 1,204.89 0.45% 3.19% 3.19% 30.03% 72.58% SPHGEVT S&P Event- Driven Index 1,208.40 (0.21%) 1.87% 1.87% 25.41% 64.95% SPHGMFI S&P Managed Futures Index 1,180.48 (1.34%) 8.45% 8.45% 47.76% 84.94% SPX S&P 500 Index 1,126.21 (1.64%) 1.29% 1.29% (9.17%) (9.05%) (1) Daily indicative index values as of March 31, 2004 (2) For purposes of analysis, Standard &Poor's constructed pro forma versions of the S&P HFI and S&P MFI that are based on respective index constituents at time of launch using monthly performance data going back to 1/1998 from the constituents themselves. Returns for some constituents may not extend back to 1/1998. The S&P Indices section of http://www.standardandpoors.com/ offers daily updates of returns, as well as methodology, index change announcements, and constituents. S&P Hedge Fund Index Standard & Poor's offers a growing family of hedge fund indices. The main S&P Hedge Fund Index offers an investable benchmark that is representative of the broad range of major strategies that hedge funds employ. The index has 40 constituents divided into three sub-indices: S&P Arbitrage, S&P Event-Driven and S&P Directional/Tactical, which in turn represent a total of nine specific strategies. These strategies include: Equity Market Neutral, Fixed Income Arbitrage, Convertible Arbitrage, Merger Arbitrage, Distressed, Special Situations, Equity Long/Short, Managed Futures and Macro. The strategies are equally weighted to ensure well-rounded representation of hedge fund investment approaches and to avoid overrepresentation of currently popular strategies. The S&P Managed Futures Index is an expanded version of the managed futures strategy represented in the main index with constituents added to ensure broader representativeness. Values are calculated and published daily by Standard & Poor's on its website http://www.hedgefundindex.standardandpoors.com/. Pro Forma Index returns are based on information provided to Standard & Poor's by the constituents themselves. Standard & Poor's cannot verify, and is not responsible for, the basis, adequacy, accuracy or completeness of this information. Standard & Poor's makes no representation as to the adequacy or accuracy of the information used in its calculation of Index returns. About Standard & Poor's Standard & Poor's is a leader in providing highly valued financial data, analytical research and investment and credit opinions to the global capital markets. Among the company's many products are the S&P Global 1200, the first real-time, global equity index, the S&P 500, the premier U.S. portfolio index, and credit ratings on more than 220,000 securities and funds. With more than 5,000 employees located in 18 countries, Standard & Poor's is an integral part of the world's financial architecture. Additional information is available at http://www.standardandpoors.com/. DATASOURCE: Standard & Poor's CONTACT: Lynn Cohn Communications +1-212-438-1650 Web site: http://www.hedgefundindex.standardandpoors.com/ http://www.standardandpoors.com/

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