Mon, Dec 22, 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   |   
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 - Big hedge funds win again on PetSmart, Riverbed, RBS sells real estate loans to hedge fund Cerberus, Talisman energy speculation: Which hedge funds could benefit?[more]

    Big hedge funds win again on PetSmart, Riverbed From CNBC.com: Another week, another set of wins for activist investors. On Sunday, pet supply retailer PetSmart agreed to the largest leveraged buyout of the year at $8.7 billion. Hedge fund firm JANA Partners had been pushing for a sale a

  2. Outlook - Hedge fund manager who remembers 1998 rout says prepare for pain, Bond guru Bill Gross predicts U.S. economic growth to dip to 2%[more]

    Hedge fund manager who remembers 1998 rout says prepare for pain From Bloomberg.com: Stephen Jen landed in Hong Kong in early January 1997 as Morgan Stanley’s newly minted exchange-rate strategist for Asia. He was soon working around the clock when investors began targeting the region’s

  3. Investing - Hedge funds get boost from healthcare in 2014, Paulson & Co takes stake in Salix on heels of inventory issues[more]

    Hedge funds get boost from healthcare in 2014 From Valuewalk.com: The healthcare sector started the year on a turbulent note, as stocks of many major biotechnology companies were battered. However, most of the players in this sector have bounced back. The BarclayHedge Healthcare & Biotec

  4. North America - Why Steve Cohen, Connecticut hedge fund billionaire, gives so much in New York[more]

    From Insidephilantrophy.com: Billionaire Steve Cohen was born in Great Neck, New York before attending Wharton, working on Wall Street and then founding SAC Capital Advisors in Connecticut. Though his company (Point72) and foundation are based in Connecticut, Cohen and Alexandra are deeply connected

  5. Investing - Soros buys a highly speculative biotech in the third quarter[more]

    From Fool.com: …The Soros Fund bought 25,000 shares of the struggling small-cap biopharma Aegerion Pharmaceuticals in the third quarter. For those of you who haven't heard of this name, suffice to say that this was a surprising buy in light of the company's recent problems and poor outlook going for