Wed, Feb 22, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Short selling strategies lead Edhec Indices in June +4.05% (-0.13% YTD), long/short equity worst performer -1.69% (+0.16% YTD)

Monday, July 19, 2010
Opalesque Industry Updates -

Hedge Fund Strategies

June 2010

YTD

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.29%

3.0%

6.5%

7.7%

0.32

CTA Global

0.20%

-0.5%

6.9%

8.7%

0.33

Distressed Securities

-1.01%

4.5%

11.0%

6.2%

1.12

Emerging Markets

-0.40%

-0.8%

11.8%

10.8%

0.72

Equity Market Neutral

-0.47%

0.7%

4.5%

3.0%

0.18

Event Driven

-1.29%

2.0%

8.2%

6.0%

0.70

Fixed Income Arbitrage

0.90%

4.4%

5.9%

4.7%

0.41

Global Macro

-0.27%

0.5%

7.3%

4.4%

0.75

Long/Short Equity

-1.69%

-1.8%

5.2%

7.2%

0.16

Merger Arbitrage

0.37%

1.7%

5.5%

3.4%

0.43

Relative Value

-0.26%

2.0%

6.5%

4.9%

0.51

Short Selling

4.05%

-0.5%

2.1%

13.9%

-0.13

Funds of Funds

-0.82%

-1.3%

4.0%

5.2%

0.00

* Cumulative return since January 1st of the current year

 

 

 

 

 

 

 

 

 

 

After a dramatic decline in May, the stock markets fell back strongly again. The S&P 500 index (-5.23%) fell sharply to its level of October 2009 and implied volatility (32.07%) rose for the fourth consecutive month, reaching its level of April 2009.

On the other hand, even though their was still much ground to make up to recover from last month’s spectacular blow, the commodities market managed a significant positive return (+1.43%). The fixed income market covered mixed ground, with regular bonds exhibiting noticeable profits (+1.13%) but convertible bonds remaining in negative territory (-0.93%). The Lehman Global Bond Index (+1.86%) managed its most profitable return over the past fifteen months.

After six months on the rise, the dollar finally fell back (-0.39%) and after last month’s crunch (-2.28%), the credit spread shrank more moderately (-0.57%).

Despite the adverse conditions on convertible bonds and the credit spread, the Convertible Arbitrage strategy managed a positive return (+0.29%). Along with the good results of regular bonds and commodities, the CTA Global strategy recorded a positive yet modest return (+0.20%). After a mishap in May, the Fixed Income strategy (+0.90%) resumed its ascent started in January 2009.

All the equity-oriented strategies suffered from the ongoing slide in the stock markets. Both the Event Driven (-1.29%) and Long/Short Equity (-1.69%) strategies registered significant losses again, although about half the magnitude of May’s dip. The Equity Market Neutral strategy (-0.47%) was naturally less impacted but performed only marginally better than the previous month.

Overall, the Fund of Funds strategy inevitably stumbled (-0.82%). However, in the current depressed situation, all hedge fund strategies clearly outperformed the stock market.

Source

kb

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. People - Kuwait wealth fund head Al Saad said to step down after 14 years[more]

    From Bloomberg.com: Kuwait Investment Authority is set to name Farouk Bastaki as managing director, replacing Bader Al Saad who ran the world's fifth-largest sovereign wealth fund for 14 years, a person familiar with the matter said. The KIA, as the fund is known, is finalizing the appointment, said

  2. Manager Profile - Eddie Lampert: a painful entanglement with Sears[more]

    From Moneyweek.com: "In the long run we are all dead." Lex in the Financial Times reached for the famous quote from John Maynard Keynes in January when, after a long and unforgiving decline, the clock finally appeared to be running out on Sears, the iconic US department store group. Yet the group's

  3. Investing - Hedge funds quit Aberdeen shorts as shares begin to recover, Hedge funds' next big short: U.S. malls, O'Connor fund owns 9.5% of Protalix Biotherapeutics, U.S. hedge fund takes position in Macau hotel The 13[more]

    Hedge funds quit Aberdeen shorts as shares begin to recover From Investmentweek.co.uk: The last two hedge funds to short Aberdeen Asset Management have removed their positions, as the fund group's shares begin to show signs of recovery after a difficult few years. According to the Financ

  4. Latin America, high yields and Asia Pacific strategies dominate hedge fund returns in January[more]

    Komfie Manalo, Opalesque Asia: Latin America (+7.04%), high yield (5.63%), and Asia-Pacific (+5.06%) strategies dominated hedge fund performance in January, data provider Hennesee Fund Research said. The bottom three strategies for the mont

  5. Investing - Hedge funds loading up on this dividend stock, The biggest hedge funds have been piling into bank stocks[more]

    Hedge funds loading up on this dividend stock From Incomeinvestors.com: Hedge funds are backing up the truck on Cameco Corp stock. Billionaire Jim Simons owns 389,000 shares. Other Wall Street titans - including Ray Dalio, Ken Griffin, and Chuck Royce - have been quietly building positio