Tue, Dec 1, 2015
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


Convertible Arbitrage



CTA Global



Distressed Securities



Emerging Markets



Equity Market Neutral



Event Driven



Fixed Income Arbitrage



Global Macro



Long/Short Equity



Merger Arbitrage



Relative Value



Short Selling



Funds of Funds



* Cumulative return since January 1st of the current year



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. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From PIonline.com: Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  3. Commodities - Stung by oil, distressed-debt traders see worst losses since '08[more]

    From Bloomberg.com: It’s mid-November, but for investors who trade in the debt of distressed companies, the year’s already done -- and they lost. Hedge funds that specialize in the debt are grappling with their worst declines in seven years. Funds managed by Knighthead Capital Management, Candlewood

  4. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the

  5. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega