Oplaesque Industry Update - In February, the stock market showed more stability as implied volatility (19.50%) dropped significantly and passed below the 20% mark for the first time since May 2008. The S&P 500 index registered a good performance (+3.10%) that significantly – but not entirely – made up for January’s stumble. Similarly, the commodities market (+6.54%) recovered partially but significantly from January’s loss (-7.33%). On the fixed-income market, both regular bonds (+0.12%) and convertible bonds (+0.70%) managed positive returns. For the third consecutive month, the dollar (+0.22%) posted a positive but decreasing return. After ten months of a sustained rise, the credit spread flattened out (-0.03%). In this favourable context, most hedge funds strategies scored positively. Sustained by the performance of convertible bonds but hampered by the stabilisation of the credit spread, the Convertible Arbitrage strategy managed a positive return (+0.39%), albeit with its smallest gain over the last fifteen months. Like the commodities market, the CTA Global strategy performed well (+0.96%) after December (-2.53%) and January’s (-2.78%) storms. The performance of the stock market significantly benefited the equity-oriented strategies, as the Long/Short Equity strategy (+0.94%) levelled out January’s loss, and the Event Driven strategy (+0.70%) completed a full year of sustained profits (+27.17%). The Equity Market Neutral strategy managed a fourth month of modest but steady gains (+0.53%). Overall, the Funds of Funds strategy exhibited a moderate gain (+0.15%) that underperformed the S&P 500 index as well as most hedge fund strategies.
Corporate website: www.Edhec-Risk.com - FG |
Industry Updates
All but two EDHEC hedge fund indices were positive in January, top performers CTA Global and L/S equity
Friday, March 19, 2010
|
|