Sun, Jun 26, 2016
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. Opalesque Roundup: Hedge funds shrink as liquidations outpace new launches in Q1: hedge fund news, week 27[more]

    In the week ending 17 May, 2016, HFR said hedge fund liquidations declined narrowly to begin 2016 after rising sharply to conclude 2015, as investors positioned f

  2. Europe - Hedge funds keep powder dry over big Brexit bets, Hedge funds sense profit in Europe shock waves after Brexit vote, Soros warns Brexit may cause pound plunge worse than Black Wednesday, After Brexit: What will happen if Britain votes to leave the UK?[more]

    Hedge funds keep powder dry over big Brexit bets From FT.com: Hedge funds are shying away from big bets on Brexit, with many unwilling to risk further losses having already suffered a painful first half of the year. With the outcome of a UK vote on the country’s membership of the Europea

  3. News Briefs - ’Flash Boys’ get green light to launch stock exchange, Pimco says ‘storm is brewing’ in U.S. commercial real estate, Bankers get ready to rumble at Hedge Fund Fight Night, AIMA Australia celebrates 15th anniversary[more]

    ’Flash Boys’ get green light to launch stock exchange In an investing environment ruled by fast, the newest U.S. public stock exchange is banking on slow. Well, slower. IEX Group, which won Securities and Exchange Commission approval on Friday to go head-to-head with the New York Stock E

  4. Blackstone buys minority stake in New York-based credit hedge fund Marathon[more]

    Benedicte Gravrand, Opalesque Geneva: Blackstone Strategic Capital Holdings Fund, a vehicle managed by Blackstone Alternative Asset Management (BAAM), has acquired a passive, minority interest in Marathon Asset Management, for an undisclosed sum. Based in New York,

  5. Visium hedge fund manager Sanjay Valvani found dead[more]

    Benedicte Gravrand, Opalesque London: A hedge fund manager connected with an insider trading case has apparently committed suicide. Sanjay Valvani, 44, a hedge fund manager at New York-based Visium Asset Management, was found dead in an apparent suicide on 21 June in his Brooklyn residence,