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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 returns201720182019
January1.11%0.84%1.78%
February0.74%-0.40%n.a.
March0.27%-0.21%n.a.
April0.31%0.33%n.a.
May0.37%0.39%n.a.
June0.29%-0.29%n.a.
July0.66%0.45%n.a.
August0.26%-0.02%n.a.
September0.41%0.18%n.a.
October0.65%-1.09%n.a.
November0.06%-0.63%n.a.
December0.55%-0.90%n.a.
Annual5.82%-1.35%1.77%
S&P 50021.83%-4.38%8.01%
Lehman Treasury2.31%0.86%0.47%
Quarterly returns201720182019
1st Quarter2.13%0.23%1.77%
2nd Quarter0.97%0.43%n.a.
3rd Quarter1.34%0.61%n.a.
4th Quarter1.26%-2.58%n.a.
Annual5.82%-1.35%1.77%
S&P 50021.83%-4.38%8.01%
Lehman Treasury2.31%0.86%0.47%
Risk ProfileEdhec Relative Value IndexS&P 500Lehman Treasury
Monthly Std Dev Ann'd4.04%14.47%4.42%
Sharpe Ratio0.470.220.03
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 Return0.48%0.58%0.34%
Median Monthly Return0.56%1.08%0.40%
Exc. Kurtosis9.361.271.51
Skewness-1.74-0.670.02
% of winning Months74.65%65.90%58.99%
Average Winning Return0.95%2.89%1.13%
% of losing Months25.35%34.10%41.01%
Average Losing Return-0.92%-3.87%-0.80%
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 Growth0.720.97-0.33
S&P Mid Cap0.780.93-0.33
S&P Small Cap0.700.87-0.35
Lehman Treasury-0.29-0.351.00
Baa-Aaa0.02-0.060.05
Chg in Baa - Aaa-0.25-0.090.14
10 years - 3 Months-0.08-0.050.10
Chg in 10 years - 3 Months-0.02-0.03-0.05
VIX-0.39-0.440.27
Chg in VIX-0.55-0.680.19
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.
2018 Q3n.a.50.0%50.0%n.a.n.a.
2018 Q4n.a.50.0%50.0%n.a.n.a.
2019 Q1n.a.50.0%50.0%n.a.n.a.
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