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Hedge funds start the year on the right foot, says EDHEC


Date: Tuesday, February 21, 2012
Author: Wendy Chothia, HedgeWeek

Equity-focused strategies in the EDHEC-Risk Alternative Indices, having increased their net market exposure – as shown by dynamic betas significantly higher than their long-term counterparts – exhibited strong performance last month and reached a five-month high: Long/Short Equity (3.36%), Event Driven (2.95%) and even Equity Market Neutral (1.01%).

In contrast, unsurprisingly enough, the Short Selling strategy (-6.85%) recorded a massive loss.

While emerging markets scored an impressive 11.32%, the corresponding hedge fund strategy only managed less than half of it (4.55%), in line with its measured dynamic exposure.

All segments in the fixed-income space showed significant gains, with high-grade bonds (0.97%) advancing to a one year high, and credit (1.53%) and convertibles (5.07%) almost reproducing last October’s stunning performance.

The Convertible Arbitrage strategy, with strong loadings on the previous two factors, consequently achieved its best performance of the past year (2.22%). The Distressed Securities (3.28%) and Fixed Income Arbitrage (1.33%) strategies also benefited from a significant credit exposure.

Commodities (2.44%) and the dollar (-1.00%) experienced a reversal and continued to lack direction.

The CTA Global strategy, with a reduced overall market exposure, only managed to post a 0.49% gain.

Finally, the Funds of Funds strategy (1.65%), started the year on a positive note after a horrendous 2011.