The objective of Relative Value funds is to take advantage of the relative price differentials between related instruments (stocks, bonds…).

This strategy usually includes Fixed Income Arbitrage / Equity Market Neutral / Convertible Arbitrage sub-indexes (see their respective sections for more details on the strategies).

Relative Value strategies are generally characterized by low return and a correlation with major bond and stock indexes that is close to 0. Consequently, Relative Value strategies may be used as “Risk Reducers” in portfolios.

Monthly returns201620172018
January-1.37%1.11%0.84%
February-0.38%0.74%-0.40%
March1.56%0.27%-0.21%
April1.06%0.31%0.33%
May0.64%0.37%0.39%
June0.27%0.29%n.a.
July1.25%0.66%n.a.
August0.64%0.26%n.a.
September0.56%0.41%n.a.
October0.52%0.65%n.a.
November0.31%0.06%n.a.
December0.94%0.55%n.a.
Annual6.12%5.82%0.95%
S&P 50011.96%21.83%2.02%
Lehman Treasury1.04%2.31%-1.10%
Quarterly returns201620172018
1st Quarter-0.21%2.13%0.23%
2nd Quarter1.98%0.97%0.73%
3rd Quarter2.46%1.34%n.a.
4th Quarter1.77%1.26%n.a.
Annual6.12%5.82%0.95%
S&P 50011.96%21.83%2.02%
Lehman Treasury1.04%2.31%-1.10%
Risk ProfileEdhec Relative Value IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd4.06%14.30%4.46%
Sharpe Ratio0.530.240.04
Information ratio-0.11n.a.n.a.
Min. Monthly Return-6.92%-16.80%-4.39%
Max. Monthly Return3.92%10.93%5.31%
Mean Monthly Return0.50%0.60%0.34%
Median Monthly Return0.57%1.08%0.40%
Exc. Kurtosis9.691.411.50
Skewness-1.82-0.670.01
% of winning Months76.08%65.55%58.85%
Average Winning Return0.96%2.88%1.14%
% of losing Months23.92%34.45%41.15%
Average Losing Return-0.95%-3.75%-0.81%
Correlation AnalysisEdhec Relative Value IndexS&P 500Lehman Treasury
S&P 5000.751.00-0.35
S&P 500 Value0.730.97-0.35
S&P 500 Growth0.730.97-0.33
S&P Mid Cap0.790.92-0.34
S&P Small Cap0.700.86-0.36
Lehman Treasury-0.29-0.351.00
Baa-Aaa0.00-0.070.05
Chg in Baa - Aaa-0.27-0.120.18
10 years - 3 Months-0.10-0.050.11
Chg in 10 years - 3 Months-0.02-0.03-0.05
VIX-0.39-0.440.27
Chg in VIX-0.55-0.660.20
in %HennesseeHFRHF NetGreenwichAltvest
2006 Q220.2%21.2%21.7%16.6%20.3%
2006 Q319.8%21.4%22.0%16.4%20.4%
2006 Q419.6%20.7%21.1%18.4%20.3%
2007 Q119.0%20.6%21.0%19.0%20.4%
2007 Q218.8%20.6%20.9%19.5%20.2%
2007 Q318.7%20.5%21.5%19.7%19.6%
2007 Q419.0%20.3%21.4%19.5%19.8%
2008 Q119.4%20.2%21.0%19.7%19.8%
2008 Q219.6%20.2%20.8%19.6%19.9%
2008 Q319.7%20.0%20.6%19.9%19.8%
2008 Q419.6%20.2%20.4%19.9%19.9%
2009 Q119.8%20.2%20.2%20.0%19.9%
2009 Q219.7%20.2%20.3%19.9%19.9%
2009 Q319.7%20.3%20.2%20.1%19.7%
2009 Q419.8%20.3%20.2%20.1%19.7%
2010 Q119.8%20.2%20.2%20.1%19.7%
2010 Q219.7%20.2%20.2%20.1%19.8%
2010 Q319.6%20.1%20.2%20.0%20.0%
2010 Q419.5%20.2%20.2%20.1%20.1%
2011 Q119.5%20.2%20.2%20.0%20.1%
2011 Q219.5%20.2%20.2%20.1%20.1%
2011 Q319.5%20.2%20.2%20.0%20.1%
2011 Q419.5%20.2%20.1%20.0%20.1%
2012 Q119.3%20.4%20.4%19.8%20.1%
2012 Q224.4%25.2%25.5%25.0%n.a.
2012 Q324.4%25.3%25.5%24.8%n.a.
2012 Q424.4%25.3%25.7%24.6%n.a.
2013 Q124.3%25.4%25.7%24.6%n.a.
2013 Q224.3%25.5%25.6%24.6%n.a.
2013 Q323.7%25.9%25.9%24.5%n.a.
2013 Q423.7%25.9%26.0%24.4%n.a.
2014 Q123.8%25.8%25.8%24.6%n.a.
2014 Q223.9%25.6%25.8%24.6%n.a.
2014 Q323.9%25.7%25.9%24.5%n.a.
2014 Q4n.a.33.9%33.8%32.3%n.a.
2015 Q1n.a.33.8%33.9%32.3%n.a.
2015 Q2n.a.33.9%33.9%32.1%n.a.
2015 Q3n.a.33.6%33.9%32.5%n.a.
2015 Q4n.a.33.6%33.7%32.8%n.a.
2016 Q1n.a.33.6%33.7%32.7%n.a.
2016 Q2n.a.33.6%33.5%32.9%n.a.
2016 Q3n.a.33.5%33.7%32.9%n.a.
2016 Q4n.a.33.5%33.7%32.9%n.a.
2017 Q1n.a.33.4%34.0%32.6%n.a.
2017 Q2n.a.33.4%33.8%32.8%n.a.
2017 Q3n.a.33.3%33.9%32.8%n.a.
2017 Q4n.a.33.2%33.8%33.0%n.a.
2018 Q1n.a.33.3%33.7%33.0%n.a.
2018 Q2n.a.33.3%33.8%32.9%n.a.
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