Sat, Feb 24, 2018
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. Art & Motion launches collectible car alternative investment vehicle[more]

    Komfie Manalo, Opalesque Asia: Luxembourg-based Art & Motion has launched a new investment vehicle dedicated to vintage cars and exceptional high-quality vehicles as this collectible market has grown exponentially the turn of the centu

  2. Opalesque Exclusive: Global Sigma captures February's long-vol trade[more]

    Bailey McCann, Opalesque New York for New Managers: Florida-based Global Sigma rode February's volatility to new highs. The firm's AGSF strategy is up +2.8 percent through February 16 and +4.2 percent YTD a

  3. Institutional Investors - Hedge funds regain their appeal for a $57 billion asset manager, Private credit strategies in stratosphere[more]

    Hedge funds regain their appeal for a $57 billion asset manager From Bloomberg.com: With volatility back on the radar, one of the Nordic region's biggest asset managers is considering relying a bit more on hedge funds to help oversee his portfolio. Mikko Mursula, the chief investment off

  4. Investing - All aboard for hedge funds as trade tide lifts shipping, Hedge funds pile into Time Warner in bet on merger success[more]

    All aboard for hedge funds as trade tide lifts shipping From Reuters.com: Forced to abandon ship after mistiming their investments five years ago, hedge funds are venturing back in a bid to profit from growing global trade flows. Around 90 percent of traded goods by volume are tran

  5. Investing - Hedge funds turn short on tech just as stock rally takes off, After biggest short, speculators slash bearish US bond bets as supply deluge looms[more]

    Hedge funds turn short on tech just as stock rally takes off From Newsmax.com: A key group of investors has just missed out on the biggest tech-stock rally since 2014. Hedge funds and other large speculators turned net short on Nasdaq 100 Index futures for the first time in 21 months, ac