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March 29, 2005 at 07:00 PM
NICE, France (HedgeWorld.com)–With a return of 3.44%, emerging markets led the field in the Edhec Alternative Indexes for February.
The next-best-returning hedge fund category was long/short equity, returning 1.95%, followed by global macro at 1.83%, event driven at 1.54% and short selling at 1.51%. For the year to date through Feb. 28, short selling returned 5.44%, besting emerging markets’ 4.93% return for the two months. In third place was long/short equity, with 1.78%.
All but one of the 13 strategies tracked by Edhec turned in positive numbers for February; convertible arbitrage posted a negative 0.59% performance. Rounding out the remainders: The fund of funds category returned 1.4%; distressed 1.32%; fixed-income arbitrage 0.91%; equity market neutral 0.86%; relative value 0.83%; merger arbitrage 0.61%; and CTA global 0.02%.
CTA global was down 4.36% for the year to date through February. Convertible arbitrage was the other negative performer for the year to date, with a minus 1.54% return.
According to Edhec, emerging markets were favored by a friendly stock market environment in February, especially for small cap stocks. Low levels of volatility over the month also helped the strategy.
The same positive conditions aided global macro funds, and Edhec officials noted that managers in that strategy did well despite less favorable movements in the bond market.
CTA managers struggled with low volatility and low bond returns. Against a backdrop of a steep rise in commodity prices, investors might have been expecting better, Edhec officials observed.
