Wed, Sep 2, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Most Edhec indices positive in February, best performer CTA (1.72%, 1.1%YTD), worst Short Selling (-3.22%, -4%YTD)

Monday, March 21, 2011
Opalesque Industry Update - In February, the stock market continued its positive trend. In a favourable context of decreasing implied volatility (18.4%), the S&P 500 Index (+3.43%) recorded a sixth consecutive month of profits and a remarkable cumulative return of 27.73% over the past half year.

A more contrasted situation prevailed on the fixed income market. Like the stock market, convertible bonds (+2.03%) remained on the rise with a less remarkable but still comfortable return of 15.54% over the same period. Conversely, regular bonds (-0.15%) registered another limited but persistent loss.

With yet another remarkable return in February, the soaring commodities market (+5.43%) generated a stunning profit of 38.40% over the past six months, similar to its record progression of the beginning of 2008. The dollar remained depressed and scored negatively (-1.29%) for the third consecutive month.

With the good performance of convertible bonds compensating its negative exposure to the stock market, the Convertible Arbitrage strategy (+1.66%) managed another month of solid profits. The uptrend of the commodities market and the declining dollar seemed to sustain the CTA Global strategy (+1.72%) which renewed with profitability despite the poor performance of regular bonds.

The equity-oriented strategies all managed positive returns that were proportional to their exposure to the stock market. The Equity Market Neutral strategy registered another moderate but steady gain whereas both Long/Short Equity (+1.44%) and Event Driven (+1.34%) strategies scored well above their respective averages.

Overall, the Funds of Funds strategy (+0.87%) managed an above average return in February.

(press release)


Edhec-Risk Institute Hedge Fund Strategies

Feb 2011

YTD*

Convertible Arbitrage

1.66%

3.5%

CTA Global

1.72%

1.1%

Distressed Securities

1.49%

3.3%

Emerging Markets

-0.45%

-1.1%

Equity Market Neutral

0.61%

1.2%

Event Driven

1.34%

2.8%

Fixed Income Arbitrage

1.10%

2.9%

Global Macro

0.93%

0.4%

Long/Short Equity

1.44%

2.0%

Merger Arbitrage

0.63%

1.6%

Relative Value

1.12%

2.1%

Short Selling

-3.22%

-4.0%

Funds of Funds

0.87%

1.0%

* Cumulative return since January 1st of the current year

The EDHEC-Risk Alternative Indexes use factor analysis techniques to provide the best possible one-dimensional summaries of the information conveyed by the competing hedge fund indexes that are currently available on the market. Therefore, they can be thought of as a set of hedge fund indexes providing a cross section of existing indexes for each hedge fund strategy. 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. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  3. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  4. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  5. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

 

banner