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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


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