Sat, Feb 24, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All EDHEC hedge fund strategy indices up in January except for short selling

Monday, February 20, 2012
Opalesque Industry Update - In January, the S&P 500 gained 4.48%, almost erasing the losses incurred since June 2011, while the implied stock market volatility continued to decrease, with the VIX returning to 19.4%, close to last year’s initial level.

Equity-focused strategies, having increased their net market exposure, as shown by dynamic betas significantly higher than their long-term counterparts, exhibited strong performance and reached a five-month high: Long/Short Equity (3.36%), Event Driven (2.95%) and even Equity Market Neutral (1.01%).

In contrast, unsurprisingly enough, the Short Selling strategy (-6.85%) recorded a massive loss.

While emerging markets scored an impressive 11.32%, the corresponding hedge fund strategy only managed less than half of it (4.55%), in line with its measured dynamic exposure.

All segments in the fixed-income space showed significant gains, with high-grade bonds (0.97%) advancing to a one year high, and credit (1.53%) and convertibles (5.07%) almost reproducing last October’s stunning performance.

The Convertible Arbitrage strategy, with strong loadings on the previous two factors, consequently achieved its best performance of the past year (2.22%). The Distressed Securities (3.28%) and Fixed Income Arbitrage (1.33%) strategies also benefited from a significant credit exposure.

Commodities (2.44%) and the dollar (-1.00%) experienced a reversal and continued to lack direction.

The CTA Global strategy, with a reduced overall market exposure, only managed to post a 0.49% gain.

Finally, the Funds of Funds strategy (1.65%), started the year on a positive note after a horrendous 2011.

Hedge Fund Strategies Jan 2012 YTD* Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 2.22% 2.2% 6.5% 7.3% 0.34
CTA Global 0.49% 0.5% 6.6% 8.6% 0.30
Distressed Securities 3.28% 3.3% 10.3% 6.3% 1.00
Emerging Markets 4.55% 4.5% 10.5% 10.7% 0.61
Equity Market Neutral 1.01% 1.0% 4.5% 3.0% 0.16
Event Driven 2.95% 2.9% 7.8% 6.1% 0.62
Fixed Income Arbitrage 1.33% 1.3% 6.0% 4.4% 0.46
Global Macro 2.05% 2.1% 7.0% 4.5% 0.68
Long/Short Equity 3.36% 3.4% 5.3% 7.3% 0.17
Merger Arbitrage 1.03% 1.0% 5.4% 3.3% 0.43
Relative Value 1.95% 1.9% 6.4% 4.8% 0.51
Short Selling -6.85% -6.9% 0.3% 14.1% -0.26
Funds of Funds 1.65% 1.7% 3.6% 5.1% -0.07
* Cumulative return since January 1st of the current year




Corporate website: www.edhec-risk.com

- FGquot; SDNUM=TD STYLE=quot; SDVAL=

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. Art & Motion launches collectible car alternative investment vehicle[more]

    Komfie Manalo, Opalesque Asia: Luxembourg-based Art & Motion has launched a new investment vehicle dedicated to vintage cars and exceptional high-quality vehicles as this collectible market has grown exponentially the turn of the centu

  2. Opalesque Exclusive: Global Sigma captures February's long-vol trade[more]

    Bailey McCann, Opalesque New York for New Managers: Florida-based Global Sigma rode February's volatility to new highs. The firm's AGSF strategy is up +2.8 percent through February 16 and +4.2 percent YTD a

  3. Institutional Investors - Hedge funds regain their appeal for a $57 billion asset manager, Private credit strategies in stratosphere[more]

    Hedge funds regain their appeal for a $57 billion asset manager From Bloomberg.com: With volatility back on the radar, one of the Nordic region's biggest asset managers is considering relying a bit more on hedge funds to help oversee his portfolio. Mikko Mursula, the chief investment off

  4. Investing - All aboard for hedge funds as trade tide lifts shipping, Hedge funds pile into Time Warner in bet on merger success[more]

    All aboard for hedge funds as trade tide lifts shipping From Reuters.com: Forced to abandon ship after mistiming their investments five years ago, hedge funds are venturing back in a bid to profit from growing global trade flows. Around 90 percent of traded goods by volume are tran

  5. Investing - Hedge funds turn short on tech just as stock rally takes off, After biggest short, speculators slash bearish US bond bets as supply deluge looms[more]

    Hedge funds turn short on tech just as stock rally takes off From Newsmax.com: A key group of investors has just missed out on the biggest tech-stock rally since 2014. Hedge funds and other large speculators turned net short on Nasdaq 100 Index futures for the first time in 21 months, ac