Wed, Jul 23, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC hedge fund strategy indices: Short Selling the best performer in November with +1.32%

Tuesday, December 20, 2011
Opalesque Industry Update - In November, after the spectacular rebound of October, the stock market calmed down as the S&P 500 index (-0.22%) displayed a nearly stable but slightly negative performance, associated with another reduction (-7.2%) in implicit volatility (27.8%).

The fixed-income market was marked by a clear setback, with regular bonds (-1.20%) registering their sharpest loss of the year and convertible bonds (-2.74%) losing half of their outstanding gains of October. After two months of extreme performances, the commodities market (+1.55%) settled down and ended the month with a reasonable profit.

The credit spread (-2.23%) shrank significantly to reach its lowest level since September 2009, and the dollar (+2.62%) continued on its undecided course.

Impacted by the receding convertible bonds and shrinking credit spread, the Convertible Arbitrage strategy (-0.91%) lost ground despite the negative return of the stock market. Without clear short-term correlation with regular bonds, the CTA Global strategy (+0.13%) managed modest profitability.

Despite an unusually stronger short-term correlation with the stock market, the Equity Market Neutral strategy (+0.02%) managed stability. The Equity Market Neutral (+0.02%) and Merger Arbitrage (+0.17%) strategies turned up as the only two profitable equity-oriented strategies, both in November and over the year (resp. +0.83% and +1.66%). Conversely, the Event Driven (-0.54%) and Long/Short Equity (-1.36%) strategies could not repeat their positive performances of October, and deepened their year-to-date lag behind the S&P 500.

Overall, in November, the Fund-of-Fund strategy (-0.91%) practically gave back the ground gained in October and significantly underperformed the stock market.

Hedge Fund Strategies Nov 2011 YTD Sharpe Ratio
Convertible Arbitrage -0.91% -1.0% 0.32
CTA Global 0.13% -3.8% 0.30
Distressed Securities -1.04% -2.7% 0.97
Emerging Markets -2.89% -9.8% 0.60
Equity Market Neutral 0.02% 0.8% 0.15
Event Driven -0.54% -3.3% 0.60
Fixed Income Arbitrage -0.23% 3.5% 0.44
Global Macro -0.70% -1.6% 0.66
Long/Short Equity -1.36% -5.5% 0.15
Merger Arbitrage 0.17% 1.7% 0.40
Relative Value -0.19% -0.3% 0.49
Short Selling 1.32% 6.3% -0.22
Funds of Funds -0.91% -5.3% -0.08
* Cumulative return since January 1st of the current year


Corporate website: Source

(press release)

- FG

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. Events – AIMA Australian Hedge Fund Forum, Sept. 16, Sydney[more]

    AIMA Australia invite you to join us at our annual Hedge Fund Forum on Tuesday 16th September 2014 at the Sofitel Sydney Wentworth. The AIMA Australian Hedge Fund Forum is a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and internation

  2. Opalesque Exclusive: Loeb, Grantham cite growing economic concerns in letters[more]

    Bailey McCann, Opalesque New York: Hedge fund manager Daniel Loeb, head of Third Point, and Jeremy Grantham of Grantham, Mayo, Van Otterloo & Co. have both released their quarterly investor letters today. While news is positive on some fronts, and both men see pockets of opportunity, they also h

  3. Investing – Hedge funds expect Netflix earnings to catapult forward, Third Point's Loeb takes stakes in Fibra Uno, YPF, Royal DSM, Lake Capital in talks to back Engine Group[more]

    Hedge funds expect Netflix earnings to catapult forward From Investing.com: Netflix has made major strides forward in 2014 despite ongoing battles with the FCC and cable companies over the issue of net neutrality. The FCC has now received over 500,000 comments from the public on its pend

  4. Opalesque Roundtable: European family offices struggle to retain their investments in offshore hedge funds[more]

    Komfie Manalo, Opalesque Asia: The European Union’s Alternative Investment Fund Managers Directive (AIFMD) will constrain investment opportunities amidst concern a number of U.S. fund managers will stop marketing their products in the European Union under the new rule, said Valentin Bohländer fro

  5. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm