November Hedge Fund Returns (Estimates)
EDHEC Risk and Asset Management Research Centre
With volatility still at its highest levels (56%), the stock markets again had to face adverse conditions this month and produced a significantly negative return (-7.18%), although this was less than half October’s record. The S&P index has now returned to its level of July 2003.
Similarly, the commodities market produced a severe loss (-13.09%), although again less than half October’s, and has now returned to its level of June 2005. On the fixed-income markets, the Lehman Global Bond index recorded a significantly positive return (+5.31%).
The difficult situation in the stock markets continues to impact the equity-oriented strategies: over the past five months, Event Driven, Equity Market Neutral, and Long/Short Equity have all produced negative returns. The Convertible Arbitrage strategy is impacted by the ongoing negative credit spread (-3.71%) and has returned to its level of December 2001.
Despite the poor results in the commodities market, the CTA Global strategy managed a second consecutive positive month (+1.99%), in a context of a strong dollar and the positive return of highly-rated bonds. As the Short-Selling strategy registers a third month of significantly positive returns (+4.39%), the performance of the Funds of Funds strategy remains negative for a sixth consecutive month.
Similarly, the commodities market produced a severe loss (-13.09%), although again less than half October’s, and has now returned to its level of June 2005. On the fixed-income markets, the Lehman Global Bond index recorded a significantly positive return (+5.31%).
The difficult situation in the stock markets continues to impact the equity-oriented strategies: over the past five months, Event Driven, Equity Market Neutral, and Long/Short Equity have all produced negative returns. The Convertible Arbitrage strategy is impacted by the ongoing negative credit spread (-3.71%) and has returned to its level of December 2001.
Despite the poor results in the commodities market, the CTA Global strategy managed a second consecutive positive month (+1.99%), in a context of a strong dollar and the positive return of highly-rated bonds. As the Short-Selling strategy registers a third month of significantly positive returns (+4.39%), the performance of the Funds of Funds strategy remains negative for a sixth consecutive month.
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