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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


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