Sat, Aug 23, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All EDHEC hedge fund strategies negative in April except for short selling

Monday, May 21, 2012
Opalesque Industry Update - In April, the stock markets (-0.65%) ended a strong four-month upward trend and registered their first setback of 2012. Simultaneously, after six months of a spectacular fall from 43% in September 2011 to 15.5% in March, implied volatility (17.2%) rose marginally, up 1.7%.

On the fixed-income markets, a mitigated situation prevailed again. Regular bonds (+0.53%) renewed with profits after a drop in March, whereas convertible bonds (-0.47%) finally reached negative territory after three months of receding profits. The Lehman Global Bond Index (+1.46%) scored remarkably well and made up for its losses of March. Finally, the commodities market (-0.56%) and the dollar (-0.65%) both lost ground.

In this context, with the exception of a stable CTA Global strategy and a profitable Fixed Income Arbitrage strategy, all the major hedge fund strategies finally registered losses after a first quarter of positive but waning performances.

The strong progression of the LGBI, along with a receding dollar, did not make up for the moderate setback of the commodities market and the CTA Global strategy (-0.01%) only managed stability in the end. The shrinking credit spread and increasing default spread outweighted the negative performance of convertible bonds to sustain the growth of the Fixed Income Arbitrage strategy (+0.50%).

Despite the retreating stock market, overcome by the negative performance of risky bonds and a contraction in the credit spread (-0.38%), the Convertible Arbitrage strategy (-0.23%) did not manage profitability. The Equity Market Neutral strategy (-0.08%) exhibited relatively poor performance, as expected from a limited but statistically significant exposure to the equity market. The Event Driven strategy (-0.14%) registered a moderate loss whereas, significantly impacted by the Small-Cap vs. Large-Cap factor (-0.64%), the Long/Short Equity strategy (-0.65%) even failed to outperform the S&P 500 index.

Overall, the Funds of Funds strategy (-0.27%) managed a limited loss, which was about half that of the S&P 500 index.

Hedge Fund Strategies Apr 2012 YTD*
Convertible Arbitrage -0.23% 5.0%
CTA Global -0.01% -0.7%
Distressed Securities -0.11% 6.2%
Emerging Markets -0.45% 5.6%
Equity Market Neutral -0.08% 1.8%
Event Driven -0.14% 5.1%
Fixed Income Arbitrage 0.50% 3.5%
Global Macro -0.49% 2.1%
Long/Short Equity -0.65% 5.5%
Merger Arbitrage -0.13% 2.2%
Relative Value -0.23% 4.1%
Short Selling 1.02% -11.8%
Funds of Funds -0.27% 2.6%

Corporate website: www.edhec-risk.com

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. Institutions – Texas Employees sets 2015 tactical plan for alternatives, CalPERS' real estate consultant cautions the pension fund's investment committee, Why Sunsuper likes hedge funds[more]

    Texas Employees sets 2015 tactical plan for alternatives From PIOnline.com: Texas Employees Retirement System will invest in up to four new hedge funds in the next fiscal year, which begins Sept. 1. Trustees approved 2015 tactical investment plans for the hedge fund, private equity and in

  2. Private equity follows hedge funds into reinsurance for long-term capital[more]

    From Artemis.bm: It’s not just hedge funds that are entering the insurance and reinsurance market in search of so-called long-term capital to put to work in their strategies, private equity firms targeting the space are also seeking opportunities to add assets under management. The entry of large pr

  3. North America – New York City’s next hot neighborhoods targeted with property funds[more]

    From Bloomberg.com: New York’s real estate world is filled with tales of ordinary people who bought property decades ago and saw values skyrocket to the millions. Seth Weissman is seeking investors to get in early on the next hot neighborhoods. The veteran of Goldman Sachs Group Inc. and hedge

  4. Investing – George Soros bets $2bn on stock market collapse, Warren Buffett's Berkshire reveals Charter stake, cuts DirecTV, Hedge funds lusting to cash out of MGM, Top hedge fund managers are buying Ally Financial, Hedge funds dumped 5m Herbalife shares in Q2, Paulson & Co hedge fund ups Puerto Rico real estate bet, Netflix Inc., Citigroup Inc, Google Inc are top new picks in Tiger Management’s 13F[more]

    George Soros bets $2bn on stock market collapse From Newsmax.com: Billionaire investor George Soros has increased his financial bet that U.S. stocks will collapse to more than $2 billion. The legendary hedge fund manager has been raising his negative bet on the Standard & Poor's 500 Inde

  5. Investors now net short S&P500 and increased Russell shorts, technicals suggest further selling[more]

    Komfie Manalo, Opalesque Asia: Market Neutral funds increased their market exposure to -1% net short from -6% net short last week, according to Bank of America Merrill Lynch’s Hedge Fund Monitor. The report also added