Wed, Jun 29, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All Edhec hedge fund indices up in November and YTD, except for Short Selling

Friday, December 18, 2009
Opalesque Industry Updates - In November, the stock market was back on the rise with a comfortable gain (+6.00%) in a context of decreasing implied volatility (24.51%), which is now at its lowest level since September 2008. Since its low point in February 2009, the S&P 500 index has now recovered half its losses from its high of September 2007.

On the bond markets, regular bonds registered an eighth month of steady returns (+0.73%) and, after last month’s stumble, convertible bonds managed a noticeable gain (+2.78%). The credit spread widened (+0.58%) for the eighth consecutive month. The commodities market scored well (+3.17%) and achieved a full quarter of sustained profitability while the struggling dollar fell off again (-2.05%), down to its level of August 2008.

Despite the profits on the stock markets, the Convertible Arbitrage strategy took advantage of the increasing credit spread and profitable convertible bonds. With another month of gains (+0.86%), the strategy achieved a full year of constant profitability. Not much affected by the crisis, the CTA Global strategy continued its uneven rise with a substantial gain (+3.54%).

The Equity Market Neutral strategy recovered last month’s limited loss (-0.05%) with a slightly positive return (+0.07%) and maintained its level of October 2008. In the trail of the stock market, the Event Driven (+1.75%) and Long/Short (+1.46%) strategies both managed positive returns, although only about one quarter of the S&P 500 gains.

In this favourable context, the Funds of Funds strategy registered a limited gain (+0.82%). Over the year, Funds of Funds recovered about 40% of the losses from their highest level of October 2007.

Hedge Fund Strategies

November 2009

YTD

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.86%

43.8%

6.3%

7.8%

0.29

CTA Global

3.54%

0.9%

7.8%

8.8%

0.43

Distressed Securities

2.32%

26.7%

10.8%

6.2%

1.10

Emerging Markets

1.62%

34.9%

12.4%

10.8%

0.77

Equity Market Neutral

0.07%

4.3%

4.7%

3.1%

0.21

Event Driven

1.75%

23.1%

8.3%

6.0%

0.71

Fixed Income Arbitrage

1.12%

23.0%

5.7%

4.8%

0.35

Global Macro

2.00%

11.1%

7.8%

4.5%

0.85

Long/Short Equity

1.46%

18.0%

5.5%

7.1%

0.21

Merger Arbitrage

0.63%

8.8%

5.5%

3.4%

0.44

Relative Value

0.99%

19.4%

6.5%

4.9%

0.50

Short Selling

-2.16%

-17.4%

2.7%

13.9%

-0.09

Funds of Funds

0.82%

10.0%

4.3%

5.2%

0.07

* Cumulative return since January 1st of the current year

 

 

 

www.edhec-risk.com


Be

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. Blackstone buys minority stake in New York-based credit hedge fund Marathon[more]

    Benedicte Gravrand, Opalesque Geneva: Blackstone Strategic Capital Holdings Fund, a vehicle managed by Blackstone Alternative Asset Management (BAAM), has acquired a passive, minority interest in Marathon Asset Management, for an undisclosed sum. Based in New York,

  2. Investing - Soros, Druckenmiller among hedgies profiting in market plunge, Hedge funds were most bullish on bonds since 2004 before Brexit, Surprise Brexit vote unleashes scramble for dollars, High-yield hit on Brexit but no panic selling, Scientist turned hedge fund founder lured to pound, euro, Hedge fund avoids commodities, posts big gains[more]

    Soros, Druckenmiller among hedgies profiting in market plunge From HITC.com: Bullish positions in gold and volatility and well-timed short bets on China and emerging markets, among other areas, were some of the trades that benefited hedge funds on Friday as markets digested Britons' s

  3. Manager Profile - A 26-year old hedge fund manager called Brexit — here's what he thinks about the historic vote[more]

    From Businessinsider.com: Taylor Mann is not your typical fund manager. The twenty-six year old Texas A&M graduate manages Pine Capital in Larue, Texas (population 160), where he resides with his three-year old daughter. Also atypical compared with many of the largest funds out there, Mann makes

  4. People - Mariner Investment’s co-CIO Williams to leave $5.5bn firm, IOOF hires new alternatives portfolio manager[more]

    Mariner Investment’s co-CIO Williams to leave $5.5bn firm From Bloomberg.com: Basil Williams, co-chief investment officer of Mariner Investment Group, is leaving the $5.5 billion hedge-fund firm after negotiations to renew his contract failed. Williams will stay in his role until t

  5. Hedge Fund Due Diligence Exchange offers complete due diligence reports at $1500[more]

    Matthias Knab, Opalesque: HFDDX is offering complete alternative investment due diligence reports at $1500 US. Industry professionals can simply go to www.hfddx.com and indicate their interest in sponsoring one or more DD Reports for $1500 each.