Sat, Nov 28, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC Alternative Indexes: Short selling top performer in October with + 3.4%

Wednesday, November 18, 2009
Opalesque Industry Updates - In October, after a remarkable period of substantial gains, the stock market finally registered its first loss (-1.86%) since February 2009. With implied volatility back on the rise in a significant way (30.69%), the S&P 500 index signalled the end of a spectacular recovery that generated an unprecedented +45.76% return over the past seven months.

Similarly, after a remarkable +39.48% return between February and September, convertible bonds were bound to follow and registered their first loss (-0.76%) in eight months, whereas regular bonds managed yet another limited but positive return (+0.31%). The credit spread rose again (+0.97%) although at a slower pace. On the other hand, after a return to profitability in September, the commodities market skyrocketed (+7.36%) and reached its highest level since last year’s crisis. The dollar remained weak and fell slightly again (-0.30%).

The Convertible Arbitrage strategy did not seem to be affected by the poor performance of risky bonds, and managed yet another month of profitability (+1.26%). Over the past eleven months, the strategy has recorded a remarkable performance of +45.20%. The CTA Global strategy was not able to confirm its two previous gains (-1.39%).

Affected by the fall off on the stock market, the Long/Short Equity strategy also recorded its first loss (-0.94%) since February, although it was only about half of the S&P’s. The Equity Market Neutral strategy failed to produce a positive return and dropped off slightly (-0.12%). Conversely, the Event Driven strategy resisted and remained positive (+0.33%) for an eighth consecutive month. The Fixed-Income strategy registered a tenth month of profitability (+1.94%) and neared its highest level of October 1997.

Overall, the Fund of Funds strategy was not able to record a positive return (-0.05%) but clearly outperformed the stock market (-1.86%).

Hedge Fund Strategies October 2009 YTD Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 1.26% 42.7% 6.2% 7.9% 0.28
CTA Global -1.39% -2.5% 7.4% 8.8% 0.39
Distressed Securities 1.38% 23.8% 10.6% 6.2% 1.07
Emerging Markets 1.11% 32.8% 12.3% 10.9% 0.76
Equity Market Neutral -0.12% 4.1% 4.7% 3.1% 0.22
Event Driven 0.33% 20.9% 8.1% 6.0% 0.68
Fixed Income Arbitrage 1.94% 21.7% 5.6% 4.8% 0.33
Global Macro -0.04% 8.9% 7.7% 4.5% 0.82
Long/Short Equity -0.94% 16.2% 5.4% 7.2% 0.19
Merger Arbitrage 0.30% 8.2% 5.5% 3.4% 0.43
Relative Value 0.33% 18.2% 6.4% 4.9% 0.49
Short Selling 3.40% -15.3% 3.0% 14.0% -0.07
Funds of Funds -0.05% 9.2% 4.3% 5.2% 0.06

Corporate website: Source

- FG

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. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  3. 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

  4. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega

  5. More institutional investors invest in CTAs compared to last year despite dissatisfaction with performance[more]

    Benedicte Gravrand, Opalesque Geneva: "Despite a strong start to 2015 for CTAs in Q1, commodity market conditions have made return generation difficult for fund managers over much of the rest of the year to date," says Preqin’s November