21/03/2011
CTA and convertibles arbitrage did well in February, according to Edhec
p { margin-bottom: 0.08in; } Of the 13 hedge fund strategies monitored by Edhec-Risk, only two showed losses for February: dedicated short bias (-3.22%) and emerging markets (-0.45%). However, rises for commodities and a falling US dollar boosted CTA, where monthly returns total 1.72%, while the good performance of convertible bonds compensated for negative exposure to equities markets for funds specialised in convertibles arbitrage, which led to average gains of 1.66% in February. Since the beginning of the year, convertibles arbitrage has earned the highest returns (3.5%), followed by distressed securities, which earned 3.3%, while losses were limited to emerging markets (-1.1%) and dedicated short bias (-4%). The highest annual returns since January 2001 are for emerging markets (12.1%) and distressed securities (11.5%). The highest annual tracking errors since January 2011, by far, are for dedicated short bias (13.9%) and emerging markets (10.5%). The only strategy with a Sharpe ratio of over 1 is distressed securities, at 1.23. At the other end of the spectrum, dedicated short bias is the only strategy to produce a negative Sharpe ratio, of -0.29%.
