Fri, May 27, 2016
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. Paul Tudor’s hedge fund trims fee amidst poor performance, keep investors[more]

    Komfie Manalo, Opalesque Asia: Paul Tudor’s $11.6bn hedge fund firm Tudor Investment Corp. announced on Monday it would slash down fees of one of its biggest fund to 2.25% of assets and 25% of profits amidst backlash arising from poor performa

  2. Ares Capital to buy American Capital in $3.4 billion deal[more]

    From PIOnline.com: Ares Management's business development company Ares Capital Corp. is buying troubled BDC American Capital for $3.43 billion, said a joint news release by the BDCs and another release by Ares Management. Ares Capital Corp.'s assets are expected to grow to about $13.2 billion when t

  3. Performance - Hedge fund ETFs take a battering, Have long-short credit funds delivered?[more]

    Hedge fund ETFs take a battering From ETFStrategy.co.uk: It was a blow for the hedge fund world when Hillary Clinton’s son-in-law Marc Mezvinsky announced he would be closing his Greek-focused fund after it plummeted in value by 90%, just two years after it launched. For passive investor

  4. Launches - Man Group and American Beacon launch new emerging debt fund, Nikko AM launches new Japan equity UCITS fund[more]

    Man Group and American Beacon launch new emerging debt fund American Beacon Advisors, an experienced provider of investment advisory services to institutional and retail markets, launched the American Beacon GLG Total Return Fund today. The Fund became effective May 20. The America

  5. Emerging markets hedge funds perform strongly, but capital base erodes[more]

    Komfie Manalo, Opalesque Asia: Latin American Emerging Markets and Russian hedge funds lead industry gains in the first months of 2016, posting strong performances through April as global and EM equity, commodity and currency markets surged in recent weeks following steep losses to begin the year