Global Investing

Hedge funds still lagging behind

February 20, 2012

How are hedgies performing this year?

The latest performance data from Nice-based business school EDHEC-Risk Institute shows various hedge funds strategies returned on average 1.46% in January, far behind the S&P 500 index which gained almost 4.5%.

Hedge Fund Strategies Jan 2012 YTD* Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 2.22% 2.2% 6.5% 7.3% 0.34
CTA Global 0.49% 0.5% 6.6% 8.6% 0.30
Distressed Securities 3.28% 3.3% 10.3% 6.3% 1.00
Emerging Markets 4.55% 4.5% 10.5% 10.7% 0.61
Equity Market Neutral 1.01% 1.0% 4.5% 3.0% 0.16
Event Driven 2.95% 2.9% 7.8% 6.1% 0.62
Fixed Income Arbitrage 1.33% 1.3% 6.0% 4.4% 0.46
Global Macro 2.05% 2.1% 7.0% 4.5% 0.68
Long/Short Equity 3.36% 3.4% 5.3% 7.3% 0.17
Merger Arbitrage 1.03% 1.0% 5.4% 3.3% 0.43
Relative Value 1.95% 1.9% 6.4% 4.8% 0.51
Short Selling -6.85% -6.9% 0.3% 14.1% -0.26
Funds of Funds 1.65% 1.7% 3.6% 5.1% -0.07

 

Emerging markets strategy was the best performing, with gains of 4.55%. Interestingly, this is less than half of how the benchmark MSCI EM index performed (up more than 11 percent in the same period).

On the downside — unsurprisingly — short selling lost 6.85%.

EDHEC says equity-focused strategies showed strong performance overall, hitting a five-month high, thanks to their increased market exposure.

Meanwhile, Bank of America-Merrill Lynch’s fund managers survey also showed hedge funds are raising their gearing levels. The ratio of their gross assets relative to capital rose to 1.49 this month from 1.22 in January.

Their net exposure to equity markets — measured as long minus short as a percentage of capital — rose to 34 percent, its highest level since June, from 31 percent in January.

JP Morgan says macro hedge funds have significantly reduced their short equity position but have not yet turned long.

Perhaps their performance may improve further when the return to the market with a vengeance…

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