Sat, Oct 25, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Most Edhec-Risk hedge fund strategies markedly benefit from market conditions in February

Wednesday, March 21, 2012
Opalesque Industry Update - Markets in February mostly confirmed trends initiated last month. Equity markets nearly reproduced January’s performance (S&P 500: 4.32%) with implied volatility diminishing slightly and settling at a moderate level (VIX: 18.4%). Fixed income markets showed a more contrasted landscape with high-grade bonds flat (Lehman US: 0.03%) or receding (Lehman Global: -0.71%), while risky assets continued to improve significantly (Credit Spread Index: 1.61%, Convertibles: 2.45%). Commodities (6.48%) recorded their strongest performance since last October. Finally, the dollar (-0.63%) posted a small loss for the second consecutive month.

Strategies in the equity space exhibited returns broadly consistent with the market dynamics (Long/Short Equity: 2.63%, Equity Market Neutral: 0.84%, Event Driven: 1.76%). The Event Driven strategy performed in line with its modelled dynamic exposure while the other two showed significant alpha.

The Short Selling strategy lost 5.59%, even exhibiting negative alpha relative to the stock market.

The Convertible Arbitrage strategy, thanks to its exposure to the strongest fixed-income factors, recorded a 2.03% gain and its index progressed to a level close to its all time high. The Distressed Securities strategy, with an increased short-term sensitivity to credit risk, returned 1.95%.

The global CTA strategy was positive for a fourth consecutive month, however with an increased magnitude (0.93%). Its slightly positive (respectively negative) dynamic exposure to commodities (respectively the dollar) only partially accounts for this fact.

Overall, with most strategies having markedly benefited from market conditions, Funds of Funds returned 1.46% and confirmed a robust start for the year 2012.

Hedge Fund Strategies

Feb 2012

YTD

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

2.03%

4.4%

6.6%

7.3%

0.36

CTA Global

0.93%

1.4%

6.6%

8.6%

0.31

Distressed Securities

1.95%

5.2%

10.4%

6.3%

1.02

Emerging Markets

3.33%

7.4%

10.7%

10.6%

0.63

Equity Market Neutral

0.84%

1.8%

4.5%

3.0%

0.17

Event Driven

1.76%

4.7%

7.9%

6.1%

0.64

Fixed Income Arbitrage

1.25%

2.4%

6.1%

4.4%

0.48

Global Macro

1.41%

3.3%

7.1%

4.4%

0.69

Long/Short Equity

2.63%

6.0%

5.5%

7.3%

0.20

Merger Arbitrage

1.09%

2.1%

5.5%

3.3%

0.45

Relative Value

1.74%

3.8%

6.5%

4.8%

0.53

Short Selling

-5.59%

-12.0%

-0.2%

14.1%

-0.29

Funds of Funds

1.46%

3.0%

3.7%

5.1%

-0.05

* 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   |   

Banner

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. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  2. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  3. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  4. Goldman in talks to acquire IndexIQ[more]

    From Bloomberg.com: Can Goldman Sachs put ETF investors on a liquid diet? Goldman is in talks to acquire IndexIQ, Reuters has reported. Index IQ is a small exchange-traded-fund firm known mostly for products that replicate hedge fund strategies, called "liquid alternative" ETFs. While IndexIQ has 11

  5. Other Voices: CALPERS dilemma should be a warning to hedge funds wanting institutional investors[more]

    From Ian Hamilton, founder of IDS Group. A quick comment on the CALPERS’ disinvestment from the hedge fund market and the jitters it is causing. Pension Funds should not be sheep and follow CALPERS’ decision as the issues that CALPERS has with hedge fund investments are in many ways unique t