Steben Select Multi-Strategy Fund commentary for the month ended March 31, 2016.

Investment Approach

Steben Select Multi-Strategy Fund is a multi-manager fund of hedge funds. The Fund seeks to reduce overall portfolio risk and provide the potential for positive absolute returns in rising and falling markets. The Fund is comprised of an actively managed allocation to a diverse portfolio of select hedge funds with a focus on more liquid, lower beta strategies.

Steben Select Multi-Strategy Fund

Steben Select Multi-Strategy Fund – Monthly Commentary

After a severe decline to start the year, equity and credit markets had a sharp rebound in March, buoyed by accommodative monetary policy across Europe, Japan and the US. There was strong dispersion in performance across hedge fund strategies during the month. For example, the HFRI Equity Hedge Index gained 3.43% in March, whereas the HFRI Macro Index lost 1.35%. Long-biased equity and credit strategies fared best, largely as a result of market exposure rather than superior investment selection.

Steben Select Multi-Strategy Fund

Steben Select finished the month approximately flat. Fixed income relative value was the top performing strategy as credit spreads tightened, reversing losses from the beginning of the first quarter. However, the Fund’s equity long/short managers were negatively impacted by a reversal in momentum stocks, and a rotation from cyclical into defensive sectors. Since the Fund targets a low beta to the S&P 500, it benefited less from the recovery in stocks than the benchmark HFRI Fund of Funds Composite Index, which gained an estimated 1.07% for the month. For the year, however, the Fund remains ahead of the Index.

Steben Select Multi-Strategy Fund