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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

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