Eden Rock Capital Management LLP: Market Commentary March 2012 US equity markets continued their strong start

t to the year with the S&P 500 index gaining 3.13%, taking its year to date performance to 12%. The Dow Jones and the Nasdaq also gained, with increases of 2.93% and 5.04%, respectively. European equities were mostly lower on the month with the EuroStoxx 50 index falling by 1.39%. The FTSE 100 & CAC 40 were also lower by 1.76% and 0.83% respectively with the German Dax index being one of the only European markets up on the month with a gain of 1.32%. Asian and Emerging markets were down sharply, the Hang Seng falling over 5% and indices such as the MSCI EMEA and MSCI LATAM also showed similar losses. Volatility fell further, back to levels not seen since early 2011, with the Vix closing the month at 15.5, down almost 3 points from 18.4. Credit spreads widened modestly, with the iTraxx crossover Series 16 closing at 575, up from 568. There was a sharp sell-off in US government bonds during the month, with yields from the middle to the long end of the curve rising sharply whilst short term rates remained unchanged. Yields on 10 year bonds rose 24bps to 2.21% and yields on the 30 year bond were up 26bps to 3.34%. 5 year yields gained 18bps to 1.04%. 2 year yields were 4bps higher at 0.33%. In European sovereign bond markets there was a mixed picture with yields on 10 year German government bonds tightening slightly to 1.79% whilst UK 10 year gilt yields rose 5bps to 2.2%. Italian bond yields were largely unchanged during the month but Spain saw an increase of 38bps in its 10 year notes after starting the month at just under 5%. Most commodities saw prices falling in March. Gold was down 1.68% and silver fell 6.95% as most metals lost ground. Energy commodities were also lower with crude oil down 3.78% on the month and natural gas prices continued to be volatile falling almost 19%, down nearly 30% year to date.

Eden Rock Capital Management LLP