Sat, Sep 5, 2015
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. Opalesque Exclusive: New Detroit-based CTA seeks to take advantage of coming volatility[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: An emerging manager has just set up his one-man shop in the city of Detroit. Synchronicity Futures,

  2. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  3. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  4. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

  5. Launches - BlackRock’s McKenna starts hedge fund with $270m, Ex-BlueBay fund managers Phillips, Fayman to launch hedge fund in 2016, Dallas lawyer, Wall Street-savvy doctor team up to form biotech-focused hedge fund[more]

    BlackRock’s McKenna starts hedge fund with $270m From Bloomberg.com: BlackRock Inc. has started an event-driven hedge fund one year after hiring Harvard Management Co.’s Mark McKenna to run the strategy. Global Event Partners, which seeks to profit from corporate events such as takeovers

 

banner