Industry Updates

All EDHEC hedge fund indices except for Short Selling were positive in March, Emerging Markets top-performer with +4.48%

Wednesday, April 21, 2010

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Opalesque Industry Update - In March, after the previous month’s rebound, stock market investors expressed clearly positive views as the S&P 500 index registered a remarkable performance (+6.03%) in a context of decreasing implied volatility (17.59%), which reached its lowest level since June 2007.

Similarly, the commodities market confirmed February’s good results and managed a substantial return (+2.45%). On the fixed-income market, performance was mixed as convertible bonds also managed a remarkable gain (+3.27%) while regular bonds failed to reach positive territory (-0.43%). The credit spread rose again (+1.07%) and reached its highest level since the inception of the indices. The dollar rose slightly (+0.11%).

With yet another significant gain in March (+2.33%), the Convertible Arbitrage strategy is resolutely a post-crash winner. Since October 2008, it has registered sixteen consecutive months of gains and a cumulative profit of 50%. The CTA Global strategy (+2.50%) outperformed its good score of February to reach its level of March 2009.

The equity-oriented strategies all benefited from the very good performance of the stock market. The Long/Short Equity strategy recorded a significant profit (+2.94%) and came very close to its highest level of October 2007. Similarly, the Event Driven strategy scored well (+2.92%) with a thirteenth consecutive month of gains, which keeps the strategy at its highest level ever. The Equity Market Neutral strategy naturally registered a more usual return (+0.95%).

With a comfortable gain in March (+1.73%), the Fund of Funds strategy took another step on the road to recovery and made up for half the losses from the 2008 crash. Corporate website: www.edhec-risk.com

Hedge Fund Strategies	March 2010	YTD	Annual Average Return since January 2001	Annual Std Dev since January 2001	Sharpe Ratio
Convertible Arbitrage	2.33%	3.2%	6.7%	7.7%	0.34
CTA Global	2.50%	0.5%	7.2%	8.8%	0.37
Distressed Securities	3.49%	5.7%	11.4%	6.2%	1.20
Emerging Markets	4.48%	3.5%	12.6%	10.7%	0.80
Equity Market Neutral	0.95%	1.7%	4.8%	3.0%	0.25
Event Driven	2.92%	4.5%	8.7%	6.0%	0.79
Fixed Income Arbitrage	1.56%	3.5%	6.0%	4.7%	0.42
Global Macro	1.92%	1.5%	7.6%	4.5%	0.82
Long/Short Equity	2.94%	2.8%	5.8%	7.1%	0.26
Merger Arbitrage	1.17%	2.2%	5.7%	3.4%	0.49
Relative Value	1.83%	3.0%	6.8%	4.9%	0.57
Short Selling	-4.95%	-5.7%	1.6%	13.9%	-0.17
Funds of Funds	1.73%	1.5%	4.4%	5.1%	0.08
* Cumulative return since January 1st of the current year