| 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 |
| * Cumulative return since January 1st of the current year | |||||
In January, the S&P 500 gained 4.48%, almost erasing the losses incurred since June 2011, while the implied stock market volatility continued to decrease, with the VIX returning to 19.4%, close to last year’s initial level.
Equity-focused strategies, having increased their net market exposure, as shown by dynamic betas significantly higher than their long-term counterparts, exhibited strong performance and reached a five-month high: Long/Short Equity (3.36%), Event Driven (2.95%) and even Equity Market Neutral (1.01%).
In contrast, unsurprisingly enough, the Short Selling strategy (-6.85%) recorded a massive loss.
While emerging markets scored an impressive 11.32%, the corresponding hedge fund strategy only managed less than half of it (4.55%), in line with its measured dynamic exposure.
All segments in the fixed-income space showed significant gains, with high-grade bonds (0.97%) advancing to a one year high, and credit (1.53%) and convertibles (5.07%) almost reproducing last October’s stunning performance.
The Convertible Arbitrage strategy, with strong loadings on the previous two factors, consequently achieved its best performance of the past year (2.22%). The Distressed Securities (3.28%) and Fixed Income Arbitrage (1.33%) strategies also benefited from a significant credit exposure.
Commodities (2.44%) and the dollar (-1.00%) experienced a reversal and continued to lack direction
The CTA Global strategy, with a reduced overall market exposure, only managed to post a 0.49% gain.
Finally, the Funds of Funds strategy (1.65%), started the year on a positive note after a horrendous 2011.
