Fri, Mar 24, 2017
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. Hedge fund liquidations in 2016 surpass 2009 levels, new launches decline[more]

    Benedicte Gravrand, Opalesque Geneva: Even as the hedge fund industry's total assets exceeded the $3tln milestone last year, hedge fund liquidations increased. So much so that 2016 had the highest number of liquidations since 2008, claims the latest HFR Market Microstructure Report, re

  2. Hedge funds find no joy in macro as returns lag Trump rally[more]

    From Gulfnews.com: In 2017, macro hedge funds were expected to shine. So far? Not so much. It's been a far from impressive first two months for funds that trade around macroeconomic events. Discretionary funds rose just 0.3 per cent through February, according to Hedge Fund Research Inc., while the

  3. Strategies - Billionaire investor Marc Lasry shares how he's playing markets right now, Classic models are failing FX hedge funds desperate for return[more]

    Billionaire investor Marc Lasry shares how he's playing markets right now From CNBC.com: Buy on the prospect of deregulation. Sell on the enactment of deregulation. That's the strategy that billionaire investor Marc Lasry is implementing, according to an interview with CNBC in Las Vegas

  4. Opalesque Exclusive: Aberdeen makes the case for the lower mid-market[more]

    Bailey McCann, Opalesque New York: Aberdeen Asset Management has released a new paper focused on lower mid-market private equity. According to the paper, this segment of the private equity market is gaining popularity with private equity investors that are looking for multiple expansion and less

  5. Hedge funds await outcome of French elections, feel pinch on lower oil prices & weak dollar[more]

    Komfie Manalo, Opalesque Asia: Hedge funds felt the pinch of lower oil prices and weak U.S. dollar as the Lyxor Hedge Fund Index was marginally down as of the week ending 14 March, Lyxor Asset Management said in its Weekly Briefing. The Lyxor He