Fri, Aug 22, 2014
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. Institutions – Texas Employees sets 2015 tactical plan for alternatives, CalPERS' real estate consultant cautions the pension fund's investment committee, Why Sunsuper likes hedge funds[more]

    Texas Employees sets 2015 tactical plan for alternatives From PIOnline.com: Texas Employees Retirement System will invest in up to four new hedge funds in the next fiscal year, which begins Sept. 1. Trustees approved 2015 tactical investment plans for the hedge fund, private equity and in

  2. Private equity follows hedge funds into reinsurance for long-term capital[more]

    From Artemis.bm: It’s not just hedge funds that are entering the insurance and reinsurance market in search of so-called long-term capital to put to work in their strategies, private equity firms targeting the space are also seeking opportunities to add assets under management. The entry of large pr

  3. North America – New York City’s next hot neighborhoods targeted with property funds[more]

    From Bloomberg.com: New York’s real estate world is filled with tales of ordinary people who bought property decades ago and saw values skyrocket to the millions. Seth Weissman is seeking investors to get in early on the next hot neighborhoods. The veteran of Goldman Sachs Group Inc. and hedge

  4. Investing – George Soros bets $2bn on stock market collapse, Warren Buffett's Berkshire reveals Charter stake, cuts DirecTV, Hedge funds lusting to cash out of MGM, Top hedge fund managers are buying Ally Financial, Hedge funds dumped 5m Herbalife shares in Q2, Paulson & Co hedge fund ups Puerto Rico real estate bet, Netflix Inc., Citigroup Inc, Google Inc are top new picks in Tiger Management’s 13F[more]

    George Soros bets $2bn on stock market collapse From Newsmax.com: Billionaire investor George Soros has increased his financial bet that U.S. stocks will collapse to more than $2 billion. The legendary hedge fund manager has been raising his negative bet on the Standard & Poor's 500 Inde

  5. Investors now net short S&P500 and increased Russell shorts, technicals suggest further selling[more]

    Komfie Manalo, Opalesque Asia: Market Neutral funds increased their market exposure to -1% net short from -6% net short last week, according to Bank of America Merrill Lynch’s Hedge Fund Monitor. The report also added