Sat, Apr 18, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Most Edhec hedge fund indices flat in November, Distressed Securities best strategy YTD, Short Selling worse

Friday, December 17, 2010
Opalesque Industry Update - In November, renewed activity on the stock market, illustrated by a level of implied volatility that was slightly up (23.5%) on the previous month but with no significant change since July, resulted in a flat trend for the S&P 500 index, which managed to avoid losses (+0.01%). Conversely, the fixed-income market failed to maintain profitability as the Lehman Global Bond index registered an unusual loss (-0.70%). In detail, after two months of strong progress, convertible bonds (-1.89%) withdrew noticeably and, after two months of stability, regular bonds (-1.22%) recorded their most severe loss since last December.

Although it slowed down, the commodities market remained on the rise (+2.07%) for a third consecutive month. After its low point of last month, the dollar benefited from a remarkable rebound (+3.72%).

Harmed by both the poor performance of convertible bonds and a shrinking credit spread (-0.21%), the Convertible Arbitrage strategy ended its five-month climb with a moderate loss (-0.26%) but remained the best-performing strategy over the year. Hampered by the fall-off in regular bonds and the rise of the dollar, the CTA Global strategy registered a noticeable loss (-2.17%) despite the profits on the commodities market.

The Event Driven strategy scored moderately (+0.34%), between a receding Merger Arbitrage strategy (-0.23%) and, considering the shrinking credit spread, an unexpectedly profitable Distressed Securities strategy (+0.72%). Equity Market Neutral managed a third consecutive month of modest gains (+0.47%) as the Long/Short Equity strategy performed slightly better (+0.76%).

Overall, the Fund-of-Fund strategy remained stable (-0.02%), and nearly on a par with the stock market.


Edhec-Risk Hedge Fund Strategies

Nov 2010

YTD

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

-0.26%

10.5%

6.9%

7.6%

0.39

CTA Global

-2.17%

5.3%

7.2%

8.7%

0.37

Distressed Securities

0.72%

10.7%

11.1%

6.1%

1.16

Emerging Markets

-0.56%

8.7%

12.3%

10.6%

0.78

Equity Market Neutral

0.47%

4.4%

4.7%

3.0%

0.24

Event Driven

0.34%

8.8%

8.6%

6.0%

0.77

Fixed Income Arbitrage

0.49%

9.3%

6.2%

4.6%

0.47

Global Macro

-0.28%

6.0%

7.6%

4.4%

0.81

Long/Short Equity

0.76%

6.2%

5.8%

7.1%

0.25

Merger Arbitrage

-0.23%

5.3%

5.6%

3.3%

0.48

Relative Value

0.42%

8.3%

6.8%

4.8%

0.59

Short Selling

-1.77%

-12.3%

0.8%

14.0%

-0.23

Funds of Funds

-0.02%

3.2%

4.3%

5.1%

0.06

* Cumulative return since January 1st of the current year

 

 

 

www.edhec-risk.com


Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Tiger Global falls 2.9% in March, down 5.3% in Q1[more]

    From Reuters.com: Investment firm Tiger Global Management, one of the hedge fund industry's most closely watched players, told clients that its hedge fund lost 5.3 percent during the first quarter, an investor said on Wednesday. Much of the decline came in March when the fund lost 2.9 percent,

  2. It’s not just hedge funds—IMF study finds stability risks from ‘vanilla’ funds[more]

    From MarketWatch.com: Leveraged hedge funds and banklike money-market funds are the parts of the asset-management industry most associated with risks to financial stability. But a report from the International Monetary Fund suggests that “plain-vanilla” mutual funds and exchange-traded funds also ca

  3. Hedge funds gain 2.4% in Q1 driven by currency and commodity markets[more]

    Komfie Manalo, Opalesque Asia: Hedge funds posted positive results last March to conclude a strong first quarter, with performance driven by strong macro trends in currency and commodity markets, complemented by broad-based gains and positioning in event driven, equity hedge and fixed income-b

  4. Hedge funds looking to continue their rally in Q2[more]

    Komfie Manalo, Opalesque Asia: Hedge funds finished the first quarter on a strong note and are looking to continue the rally in the second quarter, said Lyxor Asset Management in its Weekly Brief. The Lyxor Hedge Fund Index is up 0.4% over the week

  5. Hedge funds down -0.17% in March (+1.23%YTD)[more]

    Bailey McCann, Opalesque New York: The hedge fund industry produced an aggregate return of –0.17% in March to end Q1 2015 up 1.23%, compared to the S&P 500 which increased 0.96%, according to the latest data from eVestment. Hedge fund performance returns were mixed in March amid increased equity

 

banner