Tue, Sep 16, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC hedge fund indices end 2009 on positive note, except for CTA and Short-Selling

Tuesday, January 19, 2010
Opalesque Industry Update - In December, the stock market ended the year with another gain (+1.93%) and implied volatility (21.68%) was at its lowest level since May 2008. With a remarkable annual return in 2009 (+26.5%), the S&P Index recovered half the losses of the disastrous previous year (-37.0%).

On the bond market, regular bonds (-1.63%) registered their first loss since February but remained at a higher level than their pre-crisis peak of February 2008. On the other hand, convertible bonds (+1.45%) recorded a full year of monthly gains, managed an unprecedented annual performance (+36.8%) and reached their level of May 2008. The commodities market achieved a fourth month of significant gains (+2.35%). However, its remarkable return since February 2009 (+56.0%) only represents one-third of its losses after June 2008. The dollar scored well (+3.0%) and made up for the three previous months. The credit spread rose again (+2.33%) for a ninth consecutive month.

The good results of risky bonds and the increasing credit spread kept Convertible Arbitrage on the rise (+2.18%). With a full year of substantial monthly profits, the strategy scored a yearly gain (+46.9%) which made up for the 2008 losses (-25.6%), and clearly outperformed the S&P. Similarly, both Distressed Securities (+3.65%) and Emerging Market (+2.32%) strategies registered a tenth consecutive month of sound profit, and clearly outperformed (respectively +30.9% and +37.9%) the stock market over the year.

After a year of wavering monthly performances, the CTA Global strategy ended on a significantly negative note (-2.75%) which turned its annual result into a loss (-2.13%). Conversely, the Equity Market Neutral strategy scored positively (+0.84%) and secured a yearly gain (+5.20%) in line with the pre-crisis performances.

The Event Driven (+2.57%) and Long/Short Equity (+1.99%) strategies benefited from the stock market performance and both registered significant gains. Over the year, reflecting their correlation with the stock market, both strategies achieved annual performances (respectively +26.0% and +20.2%) that were comparable to but slightly below the S&P.

Overall, the Funds of Funds strategy registered a modest gain (+0.70%) and exhibited a yearly performance (+10.7%) which was clearly below that of the stock market.

EDHEC-Risk Institute - Hedge Fund Strategies

December 2009

YTD

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

2.18%

46.9%

6.5%

7.8%

0.32

CTA Global

-2.75%

-2.1%

7.3%

8.8%

0.38

Distressed Securities

3.65%

30.9%

11.1%

6.2%

1.14

Emerging Markets

2.32%

37.9%

12.5%

10.8%

0.79

Equity Market Neutral

0.84%

5.2%

4.7%

3.1%

0.23

Event Driven

2.57%

26.0%

8.5%

6.0%

0.74

Fixed Income Arbitrage

1.30%

24.4%

5.7%

4.8%

0.37

Global Macro

-0.30%

10.3%

7.7%

4.5%

0.82

Long/Short Equity

1.99%

20.2%

5.7%

7.1%

0.24

Merger Arbitrage

1.04%

10.0%

5.6%

3.4%

0.46

Relative Value

1.65%

21.2%

6.6%

4.9%

0.53

Short Selling

-3.66%

-20.5%

2.3%

13.9%

-0.12

Funds of Funds

0.70%

10.7%

4.4%

5.2%

0.07

* Cumulative return since January 1st of the current year

 

 

 

The EDHEC-Risk Alternative Indexes use factor analysis techniques to provide the best possible one-dimensional summaries of the information conveyed by the competing hedge fund indexes that are currently available on the market. Therefore, they can be thought of as a set of hedge fund indexes providing a cross section of existing indexes for each hedge fund strategy. www.edhec-risk.com


Bg

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. Investing - Big hedge funds show interest in Alibaba, Maglan joins other hedge funds in rush to Argentinian assets[more]

    Big hedge funds show interest in Alibaba From Hereisthecity.com: …Three other major hedge fund investors who have shown interest in the IPO are Dan Loeb of Third Point, David Tepper of Appaloosa Management and Dan Benton of Andor Capital Management. All three were among the roughly 800 p

  2. Investors looking at other sources for hedge fund-like returns[more]

    Komfie Manalo, Opalesque Asia: Investors who are always on the lookout for higher gains are looking at alternative sources of income, particularly exchange-traded fund industry that generates hedge fund-like returns, according to

  3. SEC charges Minnesota hedge fund manager with fraud[more]

    Bailey McCann, Opalesque New York: The SEC has brought charges against Minneapolis-based hedge fund manager, Steven R. Markusen for bilking investors out of fees and portfolio pumping. According to the complaint, the management fees earned by Archer Advisors LLC were shrinking due to the funds’ w

  4. …And Finally – Immature[more]

    From Newsoftheweird.com: Princeton University professor John Mulvey, 67 (who teaches financial engineering applications), was charged in July with stealing 21 yard signs around the town of Princeton -- signs for a computer repair business owned by a man with whom he was feuding. Nathan McCoy,

  5. Investors move capital out of Scotland ahead of referendum[more]

    Benedicte Gravrand, Opalesque Geneva: Ahead of Scotland’s independence referendum on September 18, asset managers, investors and pension savers are moving billions of pounds out of the country,