Thu, Mar 28, 2024
A A A
Welcome Guest
Free Trial RSS pod
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   |   
Previous Opalesque Exclusives                                  
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. KKR raises $6.4bn for the largest pan-Asia infrastructure fund[more]

    Laxman Pai, Opalesque Asia: The New York-based global investment firm KKR has raised a record $6.4bn for its second Asia-focused infrastructure fund, underlining investors' continued appetite for private markets. According to a media release from the alternative assets manager, the figure top

  2. Bucking the trend, top hedge fund makes plans for a second SPAC[more]

    From Institutional Investor: SPACs aren't dead. At least not to the folks at Cormorant Asset Management. The life sciences firm, whose hedge fund topped its peers in 2023, is confident it will match the success of its first blank-check company. Last week, the life sciences and biopharma speciali

  3. Benefit Street Partners closes fifth fund on $4.7 billion[more]

    Bailey McCann, Opalesque New York: Benefit Street Partners has closed its fifth flagship direct lending vehicle, BSP Debt Fund V, with $4.7 billion of investable capital across the strategy. Benefit Street invests primarily in privately originated, floating rate, senior secured loans. The fun

  4. 4 hedge fund themes that are working in 2024[more]

    From The Street: A poor earnings report from Tesla (TSLA) has not hurt the indexes on Thursday. The decline in Tesla stock, which is losing its position in the Magnificent Seven pantheon, is more than offset by strong earnings from IBM (IBM) and ServiceNow (NOW) . In addition, the much higher-t

  5. Opalesque Exclusive: A global macro fund eyes opportunities in bonds[more]

    Bailey McCann, Opalesque New York for New Managers: Munich-based ThirdYear Capital rebounded in 2023, following a tough year for global macro. The firm's flagship ART Global Macro strategy finished the year up 1