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All Edhec indices positive in April except for Short-Selling (-2.95%, -8.5% YTD), Distressed Securities best performer so far (2.49%, 8.3% YTD)

Tuesday, May 18, 2010
Opalesque Industry Update - After the elation of the previous month, the stock market exhibited more cautious optimism in April as the S&P 500 index rose again (+1.58%) but displayed implied volatility (22.05%) that was slightly on the rise and above the 20% mark.

The commodities market achieved a third consecutive month of remarkable gains (+3.73%). On the fixed-income market, the Lehman Global Bond index managed a solid profit (+1.05%) as regular bonds (+0.66%) outperformed convertible bonds (+0.64%). The latter were unable to reproduce their excellent score in March. The growth of the credit spread (+0.44%) remained positive. On the money market, the dollar accelerated its ascent (+0.59%) to its highest level since June 2009.

All hedge-fund strategies benefited from this favourable situation.

Unaffected by the recovery in the stock market and sustained by the increasing credit spread and profitable convertible bonds, the Convertible Arbitrage strategy continued its post-crash trend and registered yet another solid gain (+2.13%). The CTA Global strategy (+1.15%) managed a third consecutive month of positive returns, in line with its long-term correlation to the regular bonds and commodities. The increase of the credit spread maintained the very significant profitability of the Distressed Securities strategy (+2.49%) which managed a thirteenth month of continuous gains.

The Equity Market Neutral strategy registered a modest performance (+0.30%) but completed a full semester of profitability. The Long/Short Equity strategy managed a more consistent profit (+1.06%) which brought it close to its highest level of October 2007. Finally, with a considerable gain (+1.82%) which outperformed the S&P 500 index, the Event Driven strategy achieved a fourteenth month of profitability and pushed its highest level even further.

Overall, the Fund of Funds strategy recorded an above average performance (+0.95%).


EDHEC-Risk Institute - Hedge Fund Strategies

April 2010

YTD

Convertible Arbitrage

2.13%

5.4%

CTA Global

1.15%

2.0%

Distressed Securities

2.49%

8.3%

Emerging Markets

1.33%

4.6%

Equity Market Neutral

0.30%

1.9%

Event Driven

1.82%

6.2%

Fixed Income Arbitrage

1.09%

4.5%

Global Macro

0.86%

2.2%

Long/Short Equity

1.06%

3.8%

Merger Arbitrage

0.40%

2.6%

Relative Value

1.29%

4.3%

Short Selling

-2.95%

-8.5%

Funds of Funds

0.95%

2.4%


www.edhec-risk.com


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