Debt-based hedge fund strategies were the best performers in 2003's first quarter as managers capitalised on narrower credit spreads, according to a report from Hedge Fund Research (HFR), the consultancy firm.

HFR's distressed securities index was up 4.49%, while the convertible arbitrage index increased by 4.6% over the first three months of this year. Other debt-based strategies such as high-yield and mortgage-backed strategies also fared well.