Sun, Jan 25, 2015
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. Commodities - Druckenmiller alums at PointState make $1 billion on oil, Andurand Capital sees oil sliding to $40[more]

    Druckenmiller alums at PointState make $1 billion on oil From Bloomberg.com: Hedge fund manager Zach Schreiber stood on stage at Avery Fisher Hall in New York eight months ago and made a bold prediction. “We believe crude oil is going lower -- much lower,” Schreiber, 42, told the audienc

  2. Investing - David Einhorn discloses a new position in Time Warner, Canyon trimming bets on mortgage bonds after making $7bn[more]

    David Einhorn discloses a new position in Time Warner From FTLeavenworthlamp.com: …Einhorn also disclosed a new position in Time Warner. "Since 2009, TWX has refocused its business into a collection of high quality assets including basic cable networks (Turner and CNN), a movie studio (

  3. Top performing private equity firms you should invest in[more]

    Komfie Manalo, Opalesque Asia: Professor Oliver Gottschalg of Paris-based HEC Business School, also known as Ecole des Hautes Etudes Commerciales de Paris has released his annual ranking of the top performing private equity firms. The 2014 HEC-DowJones Private Equity Performance Ranking

  4. Comment - Why invest in hedge funds if they don't outperform the market?[more]

    From Forbes.com: Hedge funds have always been a bit exotic and an enigma to some, but bottom line they are supposed to produce good returns using a range of strategies including global macro, event driven and relative value (arbitrage). And, sophisticated or high-net-worth individuals (HNWIs) could

  5. Owen Li 'truly sorry' for blowing up $100m of hedge fund’s assets[more]

    From CNBC.com: A hedge fund manager told clients he is "truly sorry" for losing virtually all their money. Owen Li, the founder of Canarsie Capital in New York, said Tuesday he had lost all but $200,000 of the firm's capital—down from the roughly $100 million it ran as of late March. "I take r