Tue, Mar 3, 2015
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. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Investing - As rig count falls, hedge funds pile into long crude futures, Parus tactically shifts long/short exposure ratios, Mario Draghi outflanking Kuroda as bearish euro bets surge, Prime Capital’s 500.com bet derailed after 41% drop[more]

    As rig count falls, hedge funds pile into long crude futures From 247wallst.com: In the week ended February 27, the total number of rigs drilling for oil in the United States came in at 986, compared with 1,019 in the prior week and 1,430 a year ago. Including 281 other rigs mostly drill

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie