Wed, Jan 18, 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. The Big Picture: The case for emerging market debt in 2017[more]

    Benedicte Gravrand, Opalesque Geneva: Emerging market (EM) assets outperformed in 2016 mainly because of stronger fundamentals and an improving international environment, with GDP picking up speed, leading to positive earnings revisions for the first time in five years,

  2. Investing - This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally, Hedge fund legend David Einhorn is making a big bet on GM, After impressive 85% return in 2016, hedge fund looks to Canadian gold producer, small banks[more]

    This hedge fund made 37% betting on banks in 2016 and remains bullish after the Trump rally From Forbes.com: Can bank stocks continue to rise after a 28% surge in the KBW Bank Index in 2016, fueled by a post-election rally as stock pickers returned to the beaten down sector? Forget the s

  3. Short Selling - Long-short hedge funds are ditching the shorts to focus on longs[more]

    From Bloomberg.com: What happens when you take the "short" out of a long-short trading strategy? Some hedge funds are about to find out. Equity long-short fund managers, the biggest category in hedge funds, hold the fewest bearish stock bets on record, data compiled by Credit Suisse Group AG s

  4. SWFs - China sovereign wealth fund CIC plans more U.S. investments[more]

    From Reuters.com: China Investment Corporation (CIC), the country's sovereign wealth fund, is looking to raise alternative investments in the United States due to low returns in public markets, its chairman said on Monday. CIC will boost its investments in private equity and hedge funds as wel

  5. Some hedge funds strong start in 2017 nice contrast to 2016[more]

    With the 2016 HSBC Hedge Weekly performance rankings in the books - a year in which the same leader-board entries pretty much dominated unchallenged throughout the year - comes a new leader board that is a hard-scrabble mix of hedge fund styles and categories. What is clear after but a few short wee