According to a comparison of asset class benchmarks compiled by Pimco, in the first quarter of 2009 the best-performing one was Treasury inflation-protected securities (Tips), which returned over 5% during the first three months of the year. US high-yield bonds delivered a similar return.

Improved liquidity conditions in Tips suggests more investors are preparing for an eventual rise in US inflation, Pimco says. High yield did well because prices have been so bombed out.

Hedge funds, as measured by the Credit Suisse Tremont index, and emerging-market equities delivered very modest positive returns of below 1%, and foreign-hedged bonds (to dollars) and cash were flat.

All other asset-class indices lost money in Q1, from the modest underperformance of US bonds to the crushing -33.9% drop in real estate, as measured by the Dow Jones Wilshire Reit Index.

Within the fixed-income world, the worst performer was non-US unhedged; the JP Morgan Non-US Unhedged Index lost -5.8% due to the strength of the US dollar.

For US equities, value stocks fared poorly: the Russell series of indices for small-, medium- and large-cap value stocks lost between -14.7% to -19.6%. The Russell series of growth stocks were down but only modestly, with the midcap version losing only -3.4%. The S&P500 was down -11.0%.

The story was no better elsewhere, with the MSCI EAFE, the FTSE 100, the Dax and the Nikkei 225 down from -8% to -15%. The exception was emerging markets, with the MSCI Emerging Markets index registering a modest 0.7% gain.

Although hedge funds eked a 0.9% gain, other alternative asset-class indices were in the dumps, with the Dow Jones AIG Commodities Index losing -6.3%, venture capital down -12.7%, private equity down -15.2% and, as mentioned above, real estate off nearly -34%.

Within the hedge-fund space, the best performer was convertible arbitrage, up 7.7% in Q1, making this the best-performing asset class overall.

Far more modest gains were recorded in dedicated shorts, multi-strat, risk arbitrage, fixed-income arb, macro and long/short equity. Hedge-fund categories that lost money in Q1 include managed futures (which had been the rare outperformer in 2008), distressed, event-driven and equity market-neutral.

In all cases, volatility declined compared to the fourth quarter of 2008, although three-month volatility remains higher than three-year historical averages, except for high yield and US bonds, where volatility dipped below average.