Convertible arbitrage hedge fund strategy off to good start – EDHEC

Related images

  • Convertible arbitrage hedge fund strategy off to good start – EDHEC

Related Categories

EUROPE - Convertible arbitrage hedge fund strategies achieved their best performance of the past year, returning more than 2.2% year to date, according to according to figures from the EDHEC-Risk Institute.

EDHEC pointed out that all segments in the fixed income space had shown significant gains over the same period.

High-grade bonds (0.97%) advanced to a one-year high, while credit (1.53%) and convertibles (5.07%) almost reproduced last October's "stunning" performance.

Convertible arbitrage has strong loadings of latter two, EDHEC said. Over the last three years, the strategy has returned more than 17%. 

The institute also found that equity-focused hedge fund strategies - having increased net market exposure as illustrate by dynamic betas being "significantly higher" than their long-term counterparts - reached a five-month high.

The long/short equity strategy returned more than 3.3%, the event-driven strategy nearly 3% and even the equity market neutral strategy just over 1%.

Over the same period, the S&P 500 gained nearly 4.5%, while the VIX returned to 19.4%, close to last year's initial level.

EDHEC said commodities had returned more than 2.4%, while the dollar suffered a reversal and continued to "lack direction", falling by 1%.

According to the institute's figures, the CTA global hedge fund strategy, with a reduced overall market exposure, only managed a 0.49% return, while the fund-of-fund strategy returned more than 1.6%, starting the year "on a positive note after a horrendous 2011".

Last month, EDHEC figures showed that the broad hedge fund industry suffered a very poor year in 2011.

Only one of the five strategy groups it tracks recorded positive performance over the year: equity market neutral, which managed to finish up 0.88%.

That comes over 12 months in which the S&P 500 returned 2.11%, thanks to a late spurt in December, while bonds, in the form of the Lehman Global index, finished up almost 10%.

The most popular hedge fund strategy, long/short equity, was also the worst performer. It finished the year down 5.97% - underperforming US equities by more than 8 percentage points.

Have your say

You must sign in to make a comment


Your first step in manager selection...

IPE Quest is a manager search facility that connects institutional investors and asset managers.

  • QN-2503

    Asset class: Equities.
    Asset region: Emerging Markets.
    Size: EUR 30m.
    Closing date: 2019-01-31.

  • QN-2505

    Asset class: Real Estate Core/Core-Plus Multi-sector strategy.
    Asset region: Asia-Pacific.
    Size: $ 50m.
    Closing date: 2019-01-28.

  • QN-2506

    Asset class: Currency Overlay.
    Asset region: Global.
    Size: USD 4 bn..
    Closing date: 2019-02-11.

Begin Your Search Here