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 strategy indices up in October expect for CTA and short-selling

Friday, November 18, 2011
Opalesque Industry Update - In October, after plummeting for five months, the equity market displayed astonishing versatility, with the S&P 500 index registering a positive double-digit return (+10.93%), its best monthly performance over the past twenty years, supported by a strong fall (-13%) in implicit volatility (30.0%). Although it has not recovered from the cumulative loss over the past five months (-16.26%), the S&P 500 index renewed with YTD profitability.

The bond market also brightened as both regular bonds (+1.07%) and convertible bonds (+5.36%) recorded their best score over the past year. On the commodities market (+9.64%), the rebound was impressive but could not make up for the losses in September (-12.40%).

Less affected by the strong rise in stocks, the Convertible Arbitrage strategy (+1.33%) took advantage of the rocketing convertible bonds to put an end to five months of losses, and achieved a breakeven YTD performance. Despite the sharp fall in the dollar (-3.15%) and in profits on the commodities market, the CTA Global strategy fell (-3.00%).

Despite its naturally limited exposure, the Equity Market Neutral strategy (+1.58%) took a nice share of the equity market profits, and compensated for its losses in September. Exhibiting higher exposures to stocks, the Event Driven (+2.97%) and Long/Short Equity (+4.30%) strategies scored better and recorded their best performance over the past two years. However, neither strategy could make up for its September setbacks and maintained largely negative YTD returns.

Overall, like most other hedge fund strategies, the Funds of Funds strategy managed profitability in October and partly recovered from the losses of September. Like most equity-oriented strategies, its 2011 YTD performance remained well below par.

(press release)

Hedge Fund Strategies

Oct 2011

YTD*

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

1.33%

0.0%

6.5%

7.4%

0.34

CTA Global

-3.00%

-3.7%

6.7%

8.7%

0.31

Distressed Securities

2.98%

-1.0%

10.4%

6.3%

1.00

Emerging Markets

3.91%

-6.9%

10.8%

10.7%

0.63

Equity Market Neutral

1.58%

0.8%

4.5%

3.0%

0.16

Event Driven

2.97%

-2.8%

7.8%

6.1%

0.62

Fixed Income Arbitrage

0.63%

3.8%

6.0%

4.5%

0.46

Global Macro

0.26%

-1.1%

7.0%

4.5%

0.68

Long/Short Equity

4.30%

-3.8%

5.3%

7.3%

0.17

Merger Arbitrage

1.56%

1.3%

5.3%

3.3%

0.41

Relative Value

1.67%

0.1%

6.4%

4.8%

0.50

Short Selling

-7.36%

4.7%

0.8%

14.1%

-0.23

Funds of Funds

1.22%

-4.2%

3.7%

5.1%

-0.05

* 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. 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