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October 14, 2005
'The Best' and 'The Worst'
Convertible arbitrage has been the worst performing hedge fund strategy over the first three quarters of 2005.
According to the Edhec investable hedge fund indices, convertible arbitrage turned in a loss of -3.32% over the past nine months. It was the only strategy to report a cumulative loss year to date.
The best performer was equity market neutral which rose 5.76% in the year to 30 September.
An Edhec report said that September was characterised by strong performance of global stock markets. Value stocks and small-cap stocks showed some outperformance over the broad stock market.
Over the month, stock market volatility declined, even though its level was already close to historical lows.
Conditions for bond markets were less favourable than for stocks, as reflected by negative returns for bonds during the month of September.
Against this backdrop, all hedge fund strategies yielded positive returns in September.
Posted by su at October 14, 2005 10:48 AM