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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


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