Tue, Jul 26, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All EDHEC hedge fund indices except for Short Selling were positive in March, Emerging Markets top-performer with +4.48%

Wednesday, April 21, 2010
Opalesque Industry Update - In March, after the previous month’s rebound, stock market investors expressed clearly positive views as the S&P 500 index registered a remarkable performance (+6.03%) in a context of decreasing implied volatility (17.59%), which reached its lowest level since June 2007.

Similarly, the commodities market confirmed February’s good results and managed a substantial return (+2.45%). On the fixed-income market, performance was mixed as convertible bonds also managed a remarkable gain (+3.27%) while regular bonds failed to reach positive territory (-0.43%). The credit spread rose again (+1.07%) and reached its highest level since the inception of the indices. The dollar rose slightly (+0.11%).

With yet another significant gain in March (+2.33%), the Convertible Arbitrage strategy is resolutely a post-crash winner. Since October 2008, it has registered sixteen consecutive months of gains and a cumulative profit of 50%. The CTA Global strategy (+2.50%) outperformed its good score of February to reach its level of March 2009.

The equity-oriented strategies all benefited from the very good performance of the stock market. The Long/Short Equity strategy recorded a significant profit (+2.94%) and came very close to its highest level of October 2007. Similarly, the Event Driven strategy scored well (+2.92%) with a thirteenth consecutive month of gains, which keeps the strategy at its highest level ever. The Equity Market Neutral strategy naturally registered a more usual return (+0.95%).

With a comfortable gain in March (+1.73%), the Fund of Funds strategy took another step on the road to recovery and made up for half the losses from the 2008 crash. Corporate website: www.edhec-risk.com

Hedge Fund Strategies March 2010 YTD Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 2.33% 3.2% 6.7% 7.7% 0.34
CTA Global 2.50% 0.5% 7.2% 8.8% 0.37
Distressed Securities 3.49% 5.7% 11.4% 6.2% 1.20
Emerging Markets 4.48% 3.5% 12.6% 10.7% 0.80
Equity Market Neutral 0.95% 1.7% 4.8% 3.0% 0.25
Event Driven 2.92% 4.5% 8.7% 6.0% 0.79
Fixed Income Arbitrage 1.56% 3.5% 6.0% 4.7% 0.42
Global Macro 1.92% 1.5% 7.6% 4.5% 0.82
Long/Short Equity 2.94% 2.8% 5.8% 7.1% 0.26
Merger Arbitrage 1.17% 2.2% 5.7% 3.4% 0.49
Relative Value 1.83% 3.0% 6.8% 4.9% 0.57
Short Selling -4.95% -5.7% 1.6% 13.9% -0.17
Funds of Funds 1.73% 1.5% 4.4% 5.1% 0.08
* Cumulative return since January 1st of the current year




- 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. Opalesque Exclusive: California-based manager launches long/short equity hedge fund with unique algorithm[more]

    Benedicte Gravrand, Opalesque London for New Managers: SJL Capital LLC, an investment advisory firm based in California, has launched its maiden fund, the SJL MarketDNA Hedge Fund LP. The fund, which began trading

  2. Manny Roman to move from Man to Pimco[more]

    Benedicte Gravrand, Opalesque London: Emmanuel (Manny) Roman, an investment world veteran, has been hired by PIMCO, the large US bond fund house, as chief executive officer. PIMCO's current CEO Douglas Hodge will assume a new role as managing director and senior advisor when Roman joins P

  3. Opalesque Exclusive: ArbitrOption outperforms benchmarks, up 7.18% in H1[more]

    Komfie Manalo, Opalesque Asia: Independent registered advisor ArbitrOption breezed through the tumultuous Brexit referendum and outperformed its benchmarks. ArbitrOption was up 7.18% in the first half of 2016 compared to the S&P 500 which gain

  4. Europe - European hedge funds shrink and shutter as turmoil hurts returns, Investors go bargain-hunting for U.K. property after Brexit vote, Brexit: Guidance for fund directors - what to know and what to ask[more]

    European hedge funds shrink and shutter as turmoil hurts returns From Bloomberg.com: Europe’s hedge-fund industry contracted for a sixth straight quarter as the U.K.’s decision to leave the European Union and concerns that China’s growth is slowing caused losses and forced some money man

  5. Platinum Partners starts liquidation of hedge funds following municipal union kickback scandal[more]

    Komfie Manalo, Opalesque Asia: Platinum Partners, the hedge fund in the middle of a New York City municipal union kickback investigation, is reported to be liquidating two of its funds, the New