| Hedge Fund Strategies | August 2010 | YTD | Annual Average Return since January 2001 | Annual Std Dev since January 2001 | Sharpe Ratio |
| Convertible Arbitrage | 1.25% | 6.5% | 6.7% | 7.7% | 0.35 |
| CTA Global | 3.04% | 1.6% | 7.0% | 8.7% | 0.35 |
| Distressed Securities | -0.36% | 5.6% | 10.9% | 6.2% | 1.11 |
| Emerging Markets | 0.04% | 2.2% | 11.9% | 10.7% | 0.74 |
| Equity Market Neutral | -0.57% | 1.1% | 4.5% | 3.0% | 0.16 |
| Event Driven | -0.29% | 3.6% | 8.2% | 6.0% | 0.71 |
| Fixed Income Arbitrage | 0.99% | 6.3% | 6.0% | 4.7% | 0.43 |
| Global Macro | 1.24% | 2.1% | 7.4% | 4.4% | 0.76 |
| Long/Short Equity | -0.96% | -0.8% | 5.2% | 7.1% | 0.17 |
| Merger Arbitrage | 0.70% | 3.6% | 5.6% | 3.3% | 0.47 |
| Relative Value | 0.34% | 4.1% | 6.6% | 4.8% | 0.53 |
| Short Selling | 3.27% | -1.5% | 2.0% | 13.9% | -0.14 |
| Funds of Funds | 0.02% | -0.5% | 4.0% | 5.1% | 0.00 |
| * Cumulative return since January 1st of the current year | |||||
In August, the harsh stock market situation reduced July’s sharp rebound to a mere glimmer of optimism. In a context where implicit volatility was back on the rise (26.05%), the S&P 500 index almost eliminated its gains of July with a significantly negative return (-4.51%). In line with May and June’s performances, the decline in August pulled the year-to-date performance down into clearly negative territory (-4.62%).
On the fixed-income market, even though convertible bonds did not wipe out their exceptional gain in July, they did resume their downward slide (-0.81%). Regular bonds followed a more stable trend and managed a third consecutive month of gains (+0.84%). The Lehman Global Bond index yielded an even better return (+2.01%). After two months on the rise, the commodities market almost erased the previous month’s gain with a sharp drop (-4.89%). The dollar recovered partially (+1.79%) from a hectic summer period.
Similarly to its situation in June, and despite the losses of convertible bonds and a shrinking credit spread (-0.85%), the Convertible Arbitrage strategy took advantage of the plummeting stock market to manage a positive return (+1.25%) for a third consecutive month. Despite the losses on the commodities market but along with regular bonds, the CTA Global strategy managed a significant gain (+3.04%), its best since last November.
The poor performances of the stock market naturally impacted the equity-oriented strategies. After some comfortable gains in July, the Equity Market Neutral (-0.57%), Event-Driven (-0.29%) and Long/Short Equity (-0.96%) strategies all inevitably lost ground.
Curiously enough, despite its reduced exposure to the stock market, the Equity Market Neutral strategy was not the best performing among them. Conversely, the Fixed-Income Arbitrage strategy managed a significant profit (+0.99%)
Globally, the Fund-of-Fund strategy remained stable (+0.02%), clearly outperforming the S&P index.
