Mon, Aug 29, 2016
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. Strategies - The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I, Hedge funds get more pushback on terms as enthusiasm for strategy wanes[more]

    The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I From IBTImes.co.uk: To illustrate a strategic gap common to today's portfolio managers, George Sokoloff, PhD, founder and CIO at Carmot Capital, proposes an interesting thought experiment – a breakdown of

  2. Institutional investors - Investors set to increase allocation to private debt, With investment income key, Richmond retirement system faces funding challenges[more]

    Investors set to increase allocation to private debt Investors are set to increase their allocation to private debt, with 60% revealing they believe the private debt market will grow over the next 12 months, according to a new study by Elian, a leading funds services provider. 41%

  3. Investing - Hedge funds snap up banks, unload Apple, Some of hedge funds' favorite stocks are finally starting to beat the market, Einhorn's Greenlight shifts positions, Treasury yield climbs to two-month high as Fischer joins hawks, 9 stocks smart investors put their money in last quarter[more]

    Hedge funds snap up banks, unload Apple From Barrons.com: Prominent hedge funds have a newfound love of big banks, and some have a distaste for shares of Apple, regulatory filings released last week show. The filings suggest that the funds have been pivoting their portfolios in recent mon

  4. Chesapeake energy seeks $1 billion loan to refinance debt[more]

    From Bloomberg.com: Chesapeake Energy Corp. is seeking a $1 billion loan as the company battered by cratering fuel prices and credit downgrades takes a step to address its $9 billion debt load. The natural gas producer hired Goldman Sachs Group Inc., Citigroup Inc. and Mitsubishi UFJ Financial Group

  5. Institutions - Nordic pension funds magnify focus on unlisted and direct investing, building up teams[more]

    From IPE.com: As bond yields remain at low or negative levels, pension funds and other institutional investors in the Nordic region are stepping up efforts to find higher returns by adding more unlisted investments to portfolios and are expanding in-house teams in order to do this, according to new