Mon, Jun 26, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Almost half of EDHEC-Risk hedge fund indices down in January

Thursday, February 18, 2010
Opalesque Industry Update - In January, the stock markets stumbled on the road to recovery begun last March (apart from a mishap in October), and registered a severe loss (-3.60%) in a context of rising implied volatility (24.62%).

On the bond market, the situation is mixed. As with the stock market, convertible bonds lost significant ground (-1.38%) after a positive trend started in March 2009. Conversely, regular bonds returned to profitability (+0.53%) after last month’s unusual losses. After three months of significantly positive but decreasing gains, the commodities market suffered its most severe blow (-7.33%) since the crisis of 2008. The dollar scored positively (+1.46%) and confirmed its result in December. The credit spread rose for the tenth consecutive month (+0.59%)."

"In a context of increasing credit spreads, the Convertible Arbitrage strategy held up against the loss on the risky bond market and managed yet another profit (+0.62%), although this was the smallest in fourteen consecutive months of gains. After an already significant loss in December, the CTA Global strategy fell strongly again (-2.82%), with its most negative return since July 2008, and returned to its level of November 2008.

The equity-oriented strategies performed diversely. Despite the weak performance of the stock market, the Event Driven strategy managed an eleventh consecutive month of profits (+0.74%). Conversely, the Long/Short Equity strategy recorded its second and most strongly negative return (-1.02%) since February 2009. As expected, the Equity Market Neutral strategy was barely affected by the situation on the stock market and performed well (+0.34%)."

In such a poor context, the Funds of Funds strategy could not maintain profitability and recorded a slight loss (-0.21%). However, although some hedge-fund strategies lost ground – in particular the most highly affected CTA Global strategy (-2.82%) –, they all clearly outperformed the S&P 500 Index (-3.60%).

Hedge Fund Strategies

January 2010

YTD

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.62%

0.6%

6.5%

7.8%

0.32

CTA Global

-2.82%

-2.8%

7.0%

8.8%

0.34

Distressed Securities

1.97%

2.0%

11.2%

6.2%

1.16

Emerging Markets

-0.74%

-0.7%

12.3%

10.8%

0.77

Equity Market Neutral

0.34%

0.3%

4.7%

3.0%

0.23

Event Driven

0.74%

0.7%

8.4%

6.0%

0.74

Fixed Income Arbitrage

1.45%

1.4%

5.9%

4.7%

0.39

Global Macro

-0.67%

-0.7%

7.5%

4.5%

0.79

Long/Short Equity

-1.02%

-1.0%

5.5%

7.1%

0.21

Merger Arbitrage

0.59%

0.6%

5.6%

3.4%

0.47

Relative Value

0.54%

0.5%

6.6%

4.9%

0.53

Short Selling

1.85%

1.9%

2.5%

13.9%

-0.11

Funds of Funds

-0.21%

-0.2%

4.3%

5.1%

0.06

* Cumulative return since January 1st of the current year

 

 

 

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. FinTech - Rise of robots: Inside the world's fastest growing hedge funds[more]

    From Bloomberg.com: Believe the hype. Quants have never been more popular. After doubling over the past decade, assets run by so-called systematic funds have hit a record $500 billion this year, according to estimates from Barclays Plc. In some ways, their meteoric rise is due to the same technolog

  2. Legal - Bond market concerns could scuttle Paulson's Fannie-Freddie plan[more]

    From Bloomberg.com: A hedge fund proposal for freeing Fannie Mae and Freddie Mac from U.S. control is poised to face stiff opposition from investors who say it risks wrecking the mortgage-bond market. The Moelis & Co. blueprint, which firms including Paulson & Co. and Blackstone Group LP sponsored,

  3. Other Voices: Are your pricing policies and procedures for less liquid instruments adequate?[more]

    Komfie Manalo, Opalesque Asia: The unrelated position mismarking incidents that quickly precipitated the closures of both Visium Asset Management and Marinus Capital have been recent focal points for market participants, but regulatory scrutiny of valuation choices for less liquid instruments is

  4. FinTech - AI hedge fund Numerai now live on Ethereum, Cryptocurrency hedge funds generate huge returns as bitcoin surges[more]

    AI hedge fund Numerai now live on Ethereum From Cryptoninjas.net: Back in February, Numerai announced numeraire (NMR), a cryptographic token to incentivize a new kind of hedge fund built by a network of data scientists. Earlier today, the Numeraire smart contract was officially deployed

  5. Investing - Advisors slash hedge fund positions, Theravance Biopharma is a top pick of investment guru Seth Klarman, As asset management industry grows a search for new revenue streams[more]

    Advisors slash hedge fund positions From Barrons.com: Financial advisors have cut wealthy clients' exposure to hedge funds by up to one third over the past 12 months, The Financial Times reports. Advisor firms in the FT's annual top-300 ranking have reduced their hedge fund allocation to