Sat, May 27, 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. 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