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EDHEC-Risk Alternative Indexes - Overview February 2011

EDHEC-Risk Alternative Indexes - Overview February 2011

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Published by: chris_clair9652 on Mar 18, 2011
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01/09/2012

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Hedge Fund Strategies

Feb 2011

YTD*

Annual Annual Std Average Dev since Sharpe Ratio Return since January 2001 January 2001 7.3% 7.6% 11.5% 12.1% 4.8% 8.9% 6.4% 7.7% 6.2% 5.7% 7.0% -0.1% 4.5% 7.5% 8.7% 6.1% 10.5% 3.0% 5.9% 4.6% 4.4% 7.1% 3.3% 4.8% 13.9% 5.1% 0.44 0.42 1.23 0.77 0.27 0.83 0.52 0.83 0.31 0.52 0.64 -0.29 0.10

Convertible Arbitrage CTA Global Distressed Securities Emerging Markets Equity Market Neutral Event Driven Fixed Income Arbitrage Global Macro Long/Short Equity Merger Arbitrage Relative Value Short Selling Funds of Funds

1.66% 1.72% 1.49% -0.45% 0.61% 1.34% 1.10% 0.93% 1.44% 0.63% 1.12% -3.22% 0.87%

3.5% 1.1% 3.3% -1.1% 1.2% 2.8% 2.9% 0.4% 2.0% 1.6% 2.1% -4.0% 1.0%

* Cumulative return since January 1st of the current year

In February, the stock market continued its positive trend. In a favourable context of decreasing implied volatility (18.4%), the S&P 500 Index (+3.43%) recorded a sixth consecutive month of profits and a remarkable cumulative return of 27.73% over the past half year. A more contrasted situation prevailed on the fixed income market. Like the stock market, convertible bonds (+2.03%) remained on the rise with a less remarkable but still comfortable return of 15.54% over the same period. Conversely, regular bonds (-0.15%) registered another limited but persistent loss. With yet another remarkable return in February, the soaring commodities market (+5.43%) generated a stunning profit of 38.40% over the past six months, similar to its record progression of the beginning of 2008. The dollar remained depressed and scored negatively (-1.29%) for the third consecutive month. With the good performance of convertible bonds compensating its negative exposure to the stock market, the Convertible Arbitrage strategy (+1.66%) managed another month of solid profits. The uptrend of the commodities market and the declining dollar seemed to sustain the CTA Global strategy (+1.72%) which renewed with profitability despite the poor performance of regular bonds. The equity-oriented strategies all managed positive returns that were proportional to their exposure to the stock market. The Equity Market Neutral strategy registered another moderate but steady gain whereas both Long/Short Equity (+1.44%) and Event Driven (+1.34%) strategies scored well above their respective averages. Overall, the Funds of Funds strategy (+0.87%) managed an above average return in February.

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