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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

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