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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:

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

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