Fri, Oct 21, 2016
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
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
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.

Hedge Fund Strategies February 2010 YTD Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 0.39% 0.9% 6.5% 7.8% 0.32
CTA Global 0.96% -1.8% 7.0% 8.8% 0.34
Distressed Securities 0.47% 2.3% 11.1% 6.1% 1.16
Emerging Markets -0.33% -1.1% 12.2% 10.7% 0.76
Equity Market Neutral 0.53% 0.8% 4.7% 3.0% 0.23
Event Driven 0.70% 1.5% 8.4% 6.0% 0.75
Fixed Income Arbitrage 0.23% 1.9% 5.9% 4.7% 0.39
Global Macro 0.58% -0.3% 7.5% 4.5% 0.79
Long/Short Equity 0.94% 0.0% 5.6% 7.1% 0.22
Merger Arbitrage 0.55% 1.0% 5.6% 3.4% 0.47
Relative Value 0.55% 1.2% 6.6% 4.9% 0.54
Short Selling -2.66% -0.9% 2.1% 13.9% -0.13
Funds of Funds 0.15% -0.2% 4.3% 5.1% 0.05
* Cumulative return since January 1st of the current year

Corporate website:

- FG

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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Macro hedge funds up 3.3% in one week on Fed and Brexit pays off[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the p