Stone Mountain Capital Alternatives Market Update April 2017

Originally published on 27 April 2017

April moves in the same pattern as 1Q17 for hedge funds as they exhibit another positive month, which leads to 13 of the last 14 months. The only disappointment so far is CTA and Macro strategies with investors redeeming from those strategies, a totally reverse scenery than same time last year. 

Credit/Fixed Income Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Credit Strategy Index

2.10%

8.67%

3.96%

4.87

1.04

Credit Suisse Fixed Income Index

2.32%

5.18%

5.17%

0.62

-0.27

HFRX Credit/Fixed Income Index

1.17%

5.80%

5.31%

0.71

-0.26

UAIX Fixed Income-Global (UCITS)

1.07%

5.78%

4.57%

1.26

1.94

BofA ML US Corporate Master Index

1.50%

7.51%

6.40%

0.86

-0.15

Equity Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Equity Strategy Index

4.60%

11.02%

11.71%

0.82

0.26

Credit Suisse L/S Equity Hedge Index

3.46%

8.67%

9.12%

0.73

-0.06

HFRX Equity Hedge Index

2.63%

5.30%

7.96%

0.41

-0.20

UAIX L/S Equity (UCITS)

2.49%

6.62%

5.38%

1.23

1.88

S&P 500

5.47%

7.36%

14.37%

0.37

-0.09

Tactical Trading Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC Tactical Trading Strategy Index

2.46%

21.58%

19.93%

1.45

1.11

Credit Suisse Global Macro Index

0.24%

9.97%

8.87%

0.90

0

HFRX CTA Index

-1.26%

3.71%

9.47%

0.18

-0.24

HFRX RV Volatility Index

1.82%

4.67%

4.63%

0.57

-0.42

CBOE Eurekahedge RV Volatility Index

1.81%*

9.26%

3.74%

1.94

-0.36

UAIX CTA (UCITS)

-3.51%

7.41%

11.10%

0.67

1.05

Fund of Hedge Funds Strategies

2017 YTD Return

Annualised Return

Annualised Volatility

Sharpe Ratio

Sortino Ratio

SMC FoHF Strategy Index

2.97%

6.40%

7.16%

0.63

-0.08

HFRI FoHF Index

2.25%

6.67%

5.53%

0.84

-0.34

UAIX Multi-Strategy (UCITS)

3.55%

5.32%

4.78%

1.11

1.56

SMC Single Manager Cross-Asset Index

2.85%

13.68%

11.28%

2.75

0.88

SMC Cross-Asset Index

2.86%

13.16%

10.98%

2.60

0.81

Stone Mountain Capital In-House Indices vs. Major Benchmark Indices Hedge Funds and Long Only  

As Per YTD March 2017,  Stone Mountain Capital Research

Stone Mountain Capital’s mandated macro and CTA strategies perform better than their benchmarks in Q1 2017, which highlights the importance of selection in an exciting asset class. Fixed Income strategies recouped their losses in March and are continuing their rally alongside Stone Mountain Capital’s credit/fixed income strategies in Q1. Equity strategies are enjoying a profitable year, reflecting the stabilisation, or better the avoidance of extreme results in French elections, with Nasdaq rising to an all-time high. Investors are monitoringthe tension in North Korea and the failure in their missile attack tests was a welcomed news of confidence. Equity strategies are the best performers across our asset classes in Q1, covering three spots in our Top-5 year-to-date. Finally, Bitcoin currently trades at an all-time high, with its price breaking $1340. This is mainly a result of major governments such as Japan, Russia and India regulating bitcoin as a legitimate currency and the review of the SEC bitcoin ETF refusal decision.

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