Wed, Nov 25, 2015
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:


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. Investing - BlackRock targets ETF investors with flexible currency hedging, Nelson Peltz bets on General Electric Company and Mondelez International, Apple plummets to 4th place among hedge holdings, from No. 1, Top Q3 equity purchases and sales of top 50 hedge funds[more]

    BlackRock targets ETF investors with flexible currency hedging From BlackRock Inc., the world’s largest asset manager, is changing course on exchange-traded funds that protect against currency volatility. After stressing the easy switch between hedged and unhedged ET

  2. Chicago-based Achievement A. M. is shutting down hedge fund following losses[more]

    Komfie Manalo, Opalesque Asia for New Managers: Achievement Asset Management, a Chicago-based hedge fund firm, has announced it is closing down its hedge fund operation following losses on energy market bets this ye

  3. Lyxor Hedge Fund Index up 0.1% (+0.4% YTD) as global macro and CTAs outperform[more]

    Komfie Manalo, Opalesque Asia for New Managers: Global macro and CTAs outperformed the hedge fund space and delivered positive returns last week amidst difficult market conditions, with the Lyxor Hedge Fund Index up

  4. BlackRock is shutting down its Global Ascent macro fund[more]

    Komfie Manalo, Opalesque Asia: BlackRock, the world’s largest asset manager, has announced plans to shut down a macro fund, Global Ascent Fund, because of "headwinds facing the industry". The hedge fund, which makes bets on stock, bond and currency markets, will return money to investors. Ac

  5. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the