Mon, May 29, 2017
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. Investing - Tudor Jones backs AI hedge funds, Massive hedge fund trades highlight insider buying: GE, Pentair, Tempur Sealy, Apollo Global and more, Hedge funds big wigs are buying consumer and selling tech, here's the stocks[more]

    Tudor Jones backs AI hedge funds From FT.com: Hedge fund magnate Paul Tudor Jones has invested in a brace of artificial-intelligence powered "quantitative" hedge funds, underscoring the increasing acceptance that the industry will need to turn more to technology and away from traditional

  2. Soon hedge fund investors won't bet on a man, they will bet on a machine[more]

    From Forexlive.com: The Wall Street Journal is in the midst of a 17-part series that looks at the rise of quant funds. The AUM and money invested in quant funds still trails traditional asset managers but the gap is closing. What's truly amazing is volume. Quant funds make up 27% of trading vo

  3. Investing - China's HNA wants to invest in Value Partners, Risk parity investors reap rewards from rebalancing act, SoftBank's $100 billion tech fund rankles VCs as valuations soar[more]

    China's HNA wants to invest in Value Partners From Reuters.com: HNA Group has alighted on a logical, if pricey, target in Hong Kong. The deal-hungry Chinese travel conglomerate known for overpaying wants to invest in Value Partners, one of Asia's few sizeable independent asset managers,

  4. Opalesque Exclusive: Investors warm to ESG, but seek standardization[more]

    Bailey McCann, Opalesque New York: Asset managers and asset owners plan to double their investment in Environmental, Social and Governance (ESG) driven strategies over the next two years, according to a survey from BNP Paribas Securities Services. The report, "Great Expectations: ESG - what's nex

  5. Opalesque Roundtable: France's hidden strengths in AI and machine learning[more]

    Komfie Manalo, Opalesque Asia: All nations offer their strengths and weaknesses, but one that is undisputed is the quality of the French scientists, claimed Guillaume Vidal, co-founder of French technology startup Walnut Algorithms at the