Sat, Aug 19, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Edhec-risk hedge fund strategy indices: Emerging Markets the winner in March with 1.78% return

Wednesday, April 20, 2011
In March, the stock market could not maintain the fast pace that began last summer. The S&P 500 index remained stable (+0.04%) despite continuously decreasing implied volatility (17.7%) over the past three months. For the first quarter of 2011, the S&P 500 Index registered a positive return (+5.92%) that was about half the level of its two previous double-digit quarterly returns.

On the fixed-income market, convertible bonds (+0.63%) managed a positive but conservative performance, whereas regular bonds (-0.36%) registered their fifth consecutive negative return. Similarly, the Lehman Global Bond Index failed to reach positive territory. After six months of substantial profits, the commodities market (+5.03%) remained strong and displayed yet another double-digit quarterly performance (+14.84%). The dollar (-0.91%) fell sharply, albeit less than in the three previous months.

In this context, most hedge fund strategies could not keep up with the trend of the past months. Hampered by the modest performance of convertible bonds and a shrinking credit spread (-0.19%), the Convertible Arbitrage (+0.23%) strategy struggled for profitability. Nonetheless, the strategy remained the best-performing hedge-fund strategy over the first quarter of 2011 (+3.70%).

Despite the booming commodities market and the receding dollar, the repeated losses of regular bonds impaired the performances of the CTA Global strategy (-1.67%) and drew its quarterly return (-0.57%) into negative territory. With a limited exposure to the stock market, the Equity Market Neutral (+0.91%) strategy managed a comfortable above-average return. Conversely, both the Event Driven (+0.17%) and Long/Short Equity (+0.21%) strategies could not generate much profit from the limited performance of stocks and scored below their average monthly returns.

Overall, the Funds of Funds (-0.11%) strategy underperformed the S&P 500 Index and did not manage to record a positive return.

Hedge Fund Strategies

Mar 2011

YTD*

Convertible Arbitrage

0.23%

3.7%

CTA Global

-1.67%

-0.6%

Distressed Securities

0.33%

3.5%

Emerging Markets

1.78%

1.2%

Equity Market Neutral

0.91%

2.1%

Event Driven

0.17%

2.9%

Fixed Income Arbitrage

0.15%

3.0%

Global Macro

-0.31%

0.1%

Long/Short Equity

0.21%

2.1%

Merger Arbitrage

0.29%

1.9%

Relative Value

0.32%

2.4%

Short Selling

-1.76%

-5.6%

Funds of Funds

-0.11%

0.8%

* 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. Opalesque Exclusive: Albright Capital puts a value lens on emerging markets[more]

    Bailey McCann, Opalesque New York: Over the past decade, investors have steadily increased investments in emerging markets private funds. Allocations to the cohort have increased from $93 billion in December 2006 to $564 billion in September 2016, according to data from research firm Preqin. Howe

  2. FinTech - Danger: Crowdfunding on the wrong platform could force you to go public[more]

    From LinkedIn.com: Some equity crowdfunding platforms are putting startups at serious risk. Working with a platform that doesn't structure your deal appropriately could jeopardize your ability to raise future capital or worse, force you to become a public reporting company. The emergence of eq

  3. David Tepper says we're 'nowhere near an overheated' stock market[more]

    From Marketwatch.com: Billionaire David Tepper thinks comparing this current stock-market environment with the overheated markets of 1999 is "ridiculous." The hedge-fund manager, who runs Appaloosa Management, told CNBC in a phone interview on Tuesday that the market's record run, notwithstanding la

  4. Opalesque Exclusive: Altegris and Artivest partner on distribution for alternative funds suite[more]

    Bailey McCann, Opalesque New York: California-based investment firm Altegris has partnered with New York-based alternative investments platform Artivest on distribution for $1 billion in alternative funds. The partnership also launches Artivest's capabilities to offer alternative solutions to acc

  5. Investing - Buffett's Berkshire Hathaway will not increase its Oncor offer, Travel-tilting hedge funds are investing in airlines and online travel agencies[more]

    Buffett's Berkshire Hathaway will not increase its Oncor offer From Reuters.com: The energy unit of Warren Buffett's Berkshire Hathaway Inc said on Wednesday it will "stand firm" on its $9 billion offer to acquire 80 percent of Oncor Electric Delivery Company LLC and will not increase it