Sat, Dec 3, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Most Edhec Hedge Fund Indices down YTD except for Market Neutral, Fixed Income Arb, Merger Arbitrage, Short Selling

Wednesday, January 18, 2012
Opalesque Industry Update - In December, the stock market experienced a slight rebound, with the S&P 500 gaining 1.02% in a context of steadily decreasing implied volatility: the VIX reached a 23.4% level after three consecutive months of retreat from its September peak (43.0%).

Fixed-income markets improved significantly with high-grade bonds (+1.19%) erasing their previous month’s loss and credit spreads tightening moderately (+0.53% for the index). In contrast, convertible bonds (-0.45%) continued to fall back.

Commodities (-1.99%) proved unable to sustain upward momentum and dropped back to their October level, while the dollar (+1.34%) ended the year with a slight gain after rising for two months in a row.

Benefiting from its credit exposure, the Convertible Arbitrage strategy posted a 0.29% gain, but remained in the red over the full year (-0.70%). With no clear trend in the short term and a year characterised by sharp reversals in the markets, the CTA Global strategy (+0.29%) was barely positive for the month while posting a moderate yearly loss (-3.47%).

In line with a slight dynamic exposure to the equity risk factor, the Equity Market Neutral strategy managed small but positive monthly (+0.05%) and yearly (+0.88%) performances.

Despite significant dynamic betas relative to the S&P 500, the Event Driven (-0.37%) and Long/Short Equity (-0.57%) strategies were unable to benefit from December’s rebound, thus confirming severe underperformance over the full year, with -3.71% and -5.97% returns respectively.

The Funds of Funds strategy did not demonstrate any diversification effect, exhibiting a performance consistent with that of the worst strategy (Long/Short Equity) in December (-0.53%) as well as for the whole of 2011 (-5.86%).

Hedge Fund Strategies

Dec 2011

YTD*

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.29%

-0.7%

6.3%

7.4%

0.32

CTA Global

0.29%

-3.5%

6.6%

8.6%

0.30

Distressed Securities

0.12%

-2.6%

10.0%

6.3%

0.96

Emerging Markets

-1.30%

-10.8%

10.2%

10.6%

0.58

Equity Market Neutral

0.05%

0.9%

4.4%

3.0%

0.14

Event Driven

-0.37%

-3.7%

7.6%

6.1%

0.59

Fixed Income Arbitrage

0.42%

3.9%

6.0%

4.4%

0.44

Global Macro

-0.17%

-1.7%

6.9%

4.4%

0.65

Long/Short Equity

-0.57%

-6.0%

5.0%

7.3%

0.13

Merger Arbitrage

0.33%

2.0%

5.3%

3.3%

0.40

Relative Value

0.32%

0.0%

6.3%

4.8%

0.48

Short Selling

0.20%

6.5%

1.0%

14.0%

-0.22

Funds of Funds

-0.53%

-5.9%

3.5%

5.1%

-0.10

* 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   |   
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. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  2. Hunt for yield pushes more investors into riskier assets[more]

    From FT.com: Pension funds and insurance companies have increasingly embraced riskier assets in their hunt for higher returns over the past five years. Alternative assets such as property, infrastructure, private equity and hedge funds have been bought up by institutional investors in a world where

  3. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  4. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan

  5. Opalesque Exclusive: Ireland relaxes treatment of direct lending funds[more]

    Bailey McCann, Opalesque New York: The Irish Central Bank has relaxed its treatment of direct lending funds, according to a recently released