Edhec indexes end 2009 in positive territory

Date: Thursday, January 21, 2010
Author: Joanne Harris, HedgeFunds Review

The majority of hedge fund strategies monitored by Edhec’s alternative indexes ended 2009 with positive returns. Only short selling and global CTA posted negative returns for the year.

Convertible arbitrage led the way with returns of 46.9% for the full year, having posted positive returns every month, according to the latest edition of the indexes.

Distressed securities up 30.9% and emerging markets funds recording a rise of 37.9% both recorded a tenth successive positive month and finished the year with solid returns.

Short selling was the year's big loser, down 20.5 after a drop of 3.66% in December.

Global commodity trading advisors (CTAs) were down 2.75%, pushing yearly returns to a negative 2.13%.

Funds of hedge funds managed a 0.7% return in December, up 10.7% for the year.

Edhec alternative indexes - overview December 2009

Hedge fund strategies	December 2009 (%)	Year to date (%)	Annual average return since January 2001 (%)	Annual std dev since January 2001 (%)	Sharpe ratio
Convertible Arbitrage	2.18	46.9	6.5	7.8	0.32
CTA Global	-2.75	-2.1	7.3	8.8	0.38
Distressed Securities	3.65	30.9	11.1	6.2	1.14
Emerging Markets	2.32	37.9	12.5	10.8	0.79
Equity Market Neutral	0.84	5.2	4.7	3.1	0.23
Event Driven	2.57	26.0	8.5	6.0	0.74
Fixed Income Arbitrage	1.30	24.4	5.7	4.8	0.37
Global Macro	-0.30	10.3	7.7	4.5	0.82
Long/Short Equity	1.99	20.2	5.7	7.1	0.24
Merger Arbitrage	1.04	10.0	5.6	3.4	0.46
Relative Value	1.65	21.2	6.6	4.9	0.53
Short Selling	-3.66	-20.5	2.3	13.9	-0.12
Funds of Funds	0.70	10.7	4.4	5.2	0.07

* Cumulative return since January 1, 2009. the current year. Source: Edhec