Industry Updates

Edhec Indices: All but one strategy registered solid returns in September

Tuesday, October 19, 2010

Tweet
Print
Email
Track Keywords

Opalesque Industry Update - The ebb and flow of the stock market over the past few months continued in September, notably with the S&P 500 index surging (+8.92%) and implied volatility (23.70%) decreasing by 2.35%. With its best return since the rebound of spring 2009, the S&P 500 index managed a profitable year-to-date performance.

On the fixed-income market, risky bonds also benefited from the ambient optimism and managed an outstanding performance (+5.59%) while regular bonds remained stable (-0.01%), like the Lehman Global Bond Index (+0.02%). The commodities market also registered its best performance (+9.40%) over the past sixteen months. The dollar fell sharply (-4.21%).

The rise of convertible bonds and of the credit spread (+1.00%) sustained the convertible arbitrage strategy (+1.93%) which managed a fourth consecutive month of profits. With only one monthly loss over the past twenty-two months, it confirmed its status as best-performing strategy (+8.52% YTD) of the year.

Despite the stability of bonds but following the upward trend on the commodities market, the CTA Global strategy registered a second month of solid profits (+2.60%). Benefiting from the good performance of the stock market, the Event Driven (+2.94%) and Long/Short Equity (+4.26%) strategies naturally scored well. Despite its limited exposure to the stock market, the Equity Market Neutral (+1.81%) strategy even managed its best performance over the last ten years!

Globally, all but one strategy registered solid returns in September and, with its most profitable performance in sixteen months, the Fund-of-Funds strategy (+2.20%) finally renewed with a positive year-to-date performance (+1.70% YTD).

Hedge Fund Strategies	September 2010	YTD
Convertible Arbitrage	1.93%	8.5%
CTA Global	2.60%	4.3%
Distressed Securities	2.34%	7.9%
Emerging Markets	4.63%	7.1%
Equity Market Neutral	1.81%	3.1%
Event Driven	2.94%	6.6%
Fixed Income Arbitrage	1.24%	7.5%
Global Macro	3.03%	5.1%
Long/Short Equity	4.26%	3.5%
Merger Arbitrage	1.37%	5.0%
Relative Value	2.22%	6.4%
Short Selling	-8.63%	-9.4%
Funds of Funds	2.20%	1.7%