Wed, Dec 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. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  2. Hunt for yield pushes more investors into riskier assets[more]

    From FT.com: Pension funds and insurance companies have increasingly embraced riskier assets in their hunt for higher returns over the past five years. Alternative assets such as property, infrastructure, private equity and hedge funds have been bought up by institutional investors in a world where

  3. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  4. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan

  5. Opalesque Exclusive: Ireland relaxes treatment of direct lending funds[more]

    Bailey McCann, Opalesque New York: The Irish Central Bank has relaxed its treatment of direct lending funds, according to a recently released