Tue, Feb 9, 2016
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. How Einhorn survived a nightmare year[more]

    From Bloomberg.com: Even when a hedge fund has an awful year, which was the case for David Einhorn's Greenlight Capital, there are lessons to be learned. Many funds would have had a tough time surviving a year like Einhorn experienced in 2015, when all the stars seemed to align against him and Green

  2. Legal - Hedge fund founder wins early release in U.S. insider trading case, Gramercy seeking $1.3 billion from Peru over land-bond dispute[more]

    Hedge fund founder wins early release in U.S. insider trading case From Reuters/Streetinsider.com: Former hedge fund manager Doug Whitman on Tuesday won a reprieve from serving the remainder of his two-year sentence for insider trading after several judges expressed skepticism that his 2

  3. Investing - David Einhorn finds a winner in Michael Kors[more]

    From Thestreetinsider.com: Greenlight Capital hedge fund manger David Einhorn took his lumps in 2015. The fund lost over 20 percent on the year amid bets gone bad being long a plunging SunEdison and short a couple high-flying FANG stocks. However, today Einhorn is again showing his stock picking pro

  4. Investing - Avenue Capital's Marc Lasry: We like European bank loans, Comment: A bunch of hedge fund managers are chasing the 'dream of crushing a major structural problem'[more]

    Avenue Capital's Marc Lasry: We like European bank loans From CNBC.com: European banks are under immense pressure, but at least one prominent hedge fund has found what it thinks is a good opportunity in the wreckage. Marc Lasry, co-founder and chief executive of hedge fund Avenue Capital

  5. Credit Suisse cherry picks hedge fund ideas[more]

    From FT.com: Credit Suisse Asset Management plans to cherry pick profitable concepts from hedge funds with the launch in Europe of a “best ideas” strategy. The investment arm of the Swiss bank said the strategy will separate it from other funds blighted by “overcrowding problems”. It comes at a time