Sun, Feb 7, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All EDHEC hedge fund indices down in August except for Short Selling and Global CTA

Tuesday, September 20, 2011
Opalesque Industry Update - In August, the deterioration in the stock markets continued and accelerated. The S&P 500 index (-5.43%) suffered its most severe losses since May 2010, bringing its YTD performance (-1.77%) well below par. The increasing nervousness of investors resulted in another surge (+6.3%) in implicit volatility (31.6%), which reached its highest level since June 2010.

The situation on the fixed-income market did not improve. Like the stock markets, convertible bonds (-4.49%) dropped sharply, with a fourth consecutive month of losses sweeping its YTD profits away. In the US, regular bonds (-0.06%) struggled for stability whereas, worldwide, the Lehman Global Bond Index (+2.78%) performed remarkably well. The credit spread (-3.16%) registered its most acute shrinkage since the crisis of 2008. The commodities market (-1.66%) continued its ebb and flow.

Most hedge fund strategies were impacted by the reverses in the stock markets.

Besides Short Selling, the only profitable strategy in August was CTA Global (+0.27%), which, like the commodities market, managed its smallest change over the past fourteen months. The plummeting convertible bonds and shrinking credit spread heavily penalised the Convertible Arbitrage strategy (-2.09%), which recorded a fourth consecutive month of losses and its worst since May 2010. Despite its limited exposure to the stock market, the Equity Market Neutral strategy (-1.64%) took an unusually heavy blow.

Although they outperformed the stock markets this month, the more exposed Event Driven (-3.78%), Long/Short Equity (-4.07%), Distressed Securities (-4.08%) and Emerging Markets (-3.90%) strategies all saw their YTD performances drop into negative territory, and along with the Merger Arbitrage (-1.20%) and Relative Value (-1.86%) strategies, recorded their worst monthly performance since the subprime-induced financial crisis. Conversely, the Fixed-Income Arbitrage strategy (-0.68%) became the best-performing YTD strategy behind Short Selling.

Hedge Fund Strategies Aug 2011 YTD* Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage -2.09% 0.4% 6.6% 7.4% 0.36
CTA Global 0.27% 0.0% 7.2% 8.7% 0.36
Distressed Securities -4.08% -0.3% 10.6% 6.2% 1.07
Emerging Markets -3.90% -3.7% 11.3% 10.4% 0.70
Equity Market Neutral -1.64% 0.8% 4.5% 3.0% 0.18
Event Driven -3.78% -2.0% 8.0% 6.0% 0.67
Fixed Income Arbitrage -0.68% 3.8% 6.1% 4.5% 0.48
Global Macro -0.34% 0.3% 7.3% 4.4% 0.74
Long/Short Equity -4.07% -3.2% 5.4% 7.1% 0.20
Merger Arbitrage -1.20% 0.8% 5.4% 3.3% 0.42
Relative Value -1.86% 0.6% 6.6% 4.7% 0.54
Short Selling 6.97% 5.2% 0.8% 13.8% -0.23
Funds of Funds -2.57% -2.9% 3.9% 5.1% -0.02
* Cumulative return since January 1st of the current year




Corporate website: Source

- FG

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. How Einhorn survived a nightmare year[more]

    From Bloomberg.com: Even when a hedge fund has an awful year, which was the case for David Einhorn's Greenlight Capital, there are lessons to be learned. Many funds would have had a tough time surviving a year like Einhorn experienced in 2015, when all the stars seemed to align against him and Green

  2. Legal - Hedge fund founder wins early release in U.S. insider trading case, Gramercy seeking $1.3 billion from Peru over land-bond dispute[more]

    Hedge fund founder wins early release in U.S. insider trading case From Reuters/Streetinsider.com: Former hedge fund manager Doug Whitman on Tuesday won a reprieve from serving the remainder of his two-year sentence for insider trading after several judges expressed skepticism that his 2

  3. Investing - David Einhorn finds a winner in Michael Kors[more]

    From Thestreetinsider.com: Greenlight Capital hedge fund manger David Einhorn took his lumps in 2015. The fund lost over 20 percent on the year amid bets gone bad being long a plunging SunEdison and short a couple high-flying FANG stocks. However, today Einhorn is again showing his stock picking pro

  4. Investing - Avenue Capital's Marc Lasry: We like European bank loans, Comment: A bunch of hedge fund managers are chasing the 'dream of crushing a major structural problem'[more]

    Avenue Capital's Marc Lasry: We like European bank loans From CNBC.com: European banks are under immense pressure, but at least one prominent hedge fund has found what it thinks is a good opportunity in the wreckage. Marc Lasry, co-founder and chief executive of hedge fund Avenue Capital

  5. Computer-driven hedge funds make money during January’s selloff[more]

    Komfie Manalo, Opalesque Asia: Commodity trading advisers (CTAs) that use computer programs to guide how they trade, made millions of dollars during last month’s market selloff on the back of declining oil prices and global equities and big moves in currencies. Data provider