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.
Corporate website: Source - FG |
Industry Updates
All EDHEC hedge fund indices down in August except for Short Selling and Global CTA
Tuesday, September 20, 2011
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