Sun, Sep 24, 2017
A A A
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: www.Edhec-Risk.com

- 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. iCapital Network enters deal to acquire innovative U.S. private equity access fund platform from Deutsche Bank[more]

    Komfie Manalo, Opalesque Asia: Financial technology platform iCapital Network has entered into a definitive purchase agreement to acquire the US Private Equi

  2. Launches - Orchard launches new credit platform, ETN based on hedge fund to launch on the LSE[more]

    Orchard launches new credit platform Orchard Platform has rolled out Deals as a part of its new platform launch. With the addition of Deals to their suite of technology solutions for loan originators and institutional investors, Orchard Platform takes the next step in their evolution. De

  3. Neuberger Berman closes $1.1bn Credit Opportunities Fund[more]

    Neuberger Berman, a private, independent, employee-owned investment manager, announced that NB Private Equity Credit Opportunities Fund LP closed on $1.1 billion of limited partner commitments. The Fund seeks to invest in the secured and unsecured debt of private equity-backed companies, primarily i

  4. Capital Dynamics launches mid-market private credit business[more]

    Capital Dynamics, a global private asset manager, has launched a dedicated Private Credit Asset Management business. Experienced industry executives Jens Ernberg and Thomas Hall have joined Capital Dynamics to co-lead the company's new private credit initiative. They are based in Capital Dynamics' N

  5. ...And Finally - FAN-antic[more]

    From Newsoftheweird.com: Jeffrey Riegel, 56, of Port Republic, New Jersey, left 'em laughing with his obituary's parting shot at the Philadelphia Eagles. In it, Riegel asked that eight Eagles players act as pallbearers, "so the Eagles can let me down one last time." Riegel owned season tickets for 3