Sun, Apr 20, 2014
A A A
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   |   
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. 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

  3. 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

  4. 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

  5. Commodities – Popular value fund manager David Iben bets on Russia, gold,[more]

    From Reuters.com: With large bets on Russia and North American gold miners, one of the best performing stock pickers in the wake of the 2008 financial crisis is back with a new fund that reflects his deep aversion to following the crowd. In the Kopernik Global All-Cap Fund, David Iben is follo