Sat, Apr 29, 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: Ex-Man manager combines sustainable investing with AI/ML[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Dr. Richard Bateson, quant fund manager and physicist, has recently

  2. Other Voices: "Winner-take-all" dynamics and hedge fund investing[more]

    A growing stream of thinking in microeconomics is the concept of "winner-take-all" dynamics. The idea seems simple. A combination of networking economics and classic economies of scale creates situations where there are just a few dominant firms or economic agents who are able to capture significant

  3. Investing - How Chipotle's comeback attracted big data robots and value investors alike[more]

    From Forbes.com: When William Ackman's ailing hedge fund Pershing Square Capital Management bet $1 billion on shares in Chipotle Mexican Grill beginning in July 2016, the stakes couldn't have been higher. Pershing Square was reeling from what would eventually be a near $4 billion loss in drugmaker V

  4. Service Providers - Colemore launches fee tracking service for limited partners[more]

    Following Colmore's successful launch in January 2017, the firm has announced the launch of FAIR.. FAIR is designed to help private equity investors independently validate fees and incentives charged by underlying managers, saving time and providing an extra level of comfort. There is a glob

  5. Regulatory - 'Fist bumps' at hedge funds over Trump's tax plan[more]

    From Reuters.com: U.S. hedge fund managers began warming to President Donald Trump soon after his surprise election ignited a powerful stock market rally. Now, his dramatic tax cut plans give them even more reasons to cheer. Trump, looking to make good on pledges for sweeping tax reform, on Wednesda