Sat, Apr 19, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC hedge fund indices underperformed the stock market in March

Wednesday, April 18, 2012
Opalesque Industry Update - In March, the stock markets continued to rise for the fourth consecutive month. The S&P 500 gained 3.29%, registering a 12.59% progression since the beginning of 2012. Equity implied volatility dropped sharply, settling at a level (VIX: 15.5%) near to a one year low. Fixed income markets were again contrasted, with a high grade segment confirming a downward trend (Lehman Global: -1.00%), but riskier assets characterised by slowing momentum (Credit Spread Index: 0.52%, Convertibles: 0.28%). Commodities (-2.10%) ended their rally brutally while the Dollar regained some ground (0.83%), with the pair persisting in the anti-correlated pattern adopted four months ago.

The Equity Market Neutral strategy (0.36%) performed in line with its dynamic exposure, while the more directional strategies (Long/Short Equity: 0.34%, Event Driven: 0.62%) seem to have reduced their beta faster than what the risk model suggests, capturing only a small fraction of the market performance. The Short Selling strategy lost 0.93%, thus signalling a reduced exposure after a disastrous beginning to the year.

The Convertible Arbitrage strategy (0.63%) continued to exhibit robust performance, even with the associated risk drivers weakening. The Distressed Securities strategy (0.93%) continued to show some alpha in addition to its profitable exposure to credit risk.

The global CTA strategy lost 1.94%, wiping out all the profits accumulated this year and more, thus confirming severe underperformance in 2012 (-0.59%: the worst amongst the major hedge fund strategies).

Funds of Funds, finally, only managed an unimpressive 0.11% gain, in contrast with the two rather good months previously.

Hedge Fund Strategies Mar 2012 YTD* Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 0.63% 5.3% 6.7% 7.3% 0.36
CTA Global -1.94% -0.6% 6.4% 8.6% 0.28
Distressed Securities 0.93% 6.3% 10.5% 6.3% 1.03
Emerging Markets -1.03% 6.4% 10.5% 10.6% 0.61
Equity Market Neutral 0.36% 2.0% 4.5% 3.0% 0.17
Event Driven 0.62% 5.3% 7.9% 6.1% 0.64
Fixed Income Arbitrage 0.69% 3.1% 6.1% 4.4% 0.48
Global Macro -0.56% 2.7% 7.0% 4.4% 0.67
Long/Short Equity 0.34% 6.2% 5.4% 7.3% 0.20
Merger Arbitrage 0.18% 2.3% 5.4% 3.3% 0.44
Relative Value 0.56% 4.3% 6.5% 4.7% 0.54
Short Selling -0.93% -12.5% -0.2% 14.1% -0.30
Funds of Funds 0.11% 3.0% 3.7% 5.1% -0.06

Corporate website: Source

fg

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. Opalesque Exclusive: Classic Auto Funds Limited (CAF) launches several car investing funds[more]

    Bailey McCann, Opalesque New York: A new trend in alternative alternatives is emerging - car appreciation funds. Classic Auto Funds Limited (CAF) is the first to market with several funds that make super elite luxury cars into real asset investments. As a result of growing overseas demand couple

  2. Opalesque Exclusive: European stock-picking fund up 19% YTD, bets on small caps’ high cash level[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Here is a European long/short equity fund that has been beating the odds since its 2008 inception by employing its own investment model, frequent company visits

  3. CTAs could face new challenges in a rising rates environment[more]

    Bailey McCann, Opalesque New York: CTAs have taken a beating performance wise lately, and asset flows reports show that investors aren't sticking around to see how the movie ends. Now, a new white paper from Roy Niederhoffer and Coen Weddepohl notes that as interest rates start to tick back u

  4. Investing – Big hedge funds bought Puerto Rico's junk bonds, Fidelity explores new trading venue amid flash trade concerns, Crisis-era Greek bonds reward early buyers with big effective returns, Cargill unit discloses stake in Freddie preferred[more]

    Big hedge funds bought Puerto Rico's junk bonds From Reuters.com: Several large hedge funds doubled down on Puerto Rico in last month's giant bond sale despite the U.S. territory's financial struggles, the Wall Street Journal reported, citing confidential documents reviewed by the newspa

  5. Opalesque Exclusive: Hedge fund replicators evolve[more]

    Bailey McCann, Opalesque New York: Hedge fund replicators as a group of products tend to get a bad rap from hedge fund managers who suggest that the best a replicator can offer is dynamic beta capture. A