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.
|Risk Profile||Edhec Relative Value Index||S&P 500||Lehman Treasury|
|Monthly Std Dev Ann'd||4.04%||14.23%||4.43%|
|Min. Monthly Return||-6.92%||-16.80%||-4.39%|
|Max. Monthly Return||3.92%||10.93%||5.31%|
|Mean Monthly Return||0.49%||0.62%||0.34%|
|Median Monthly Return||0.56%||1.10%||0.40%|
|% of winning Months||75.47%||66.04%||58.96%|
|Average Winning Return||0.95%||2.88%||1.13%|
|% of losing Months||24.53%||33.96%||41.04%|
|Average Losing Return||-0.92%||-3.75%||-0.80%|
|Correlation Analysis||Edhec Relative Value Index||S&P 500||Lehman Treasury|
|S&P 500 Value||0.73||0.97||-0.35|
|S&P 500 Growth||0.72||0.97||-0.33|
|S&P Mid Cap||0.79||0.92||-0.34|
|S&P Small Cap||0.70||0.86||-0.36|
|Chg in Baa - Aaa||-0.27||-0.12||0.17|
|10 years - 3 Months||-0.09||-0.06||0.11|
|Chg in 10 years - 3 Months||-0.02||-0.03||-0.05|
|Chg in VIX||-0.54||-0.66||0.20|
|in %||Hennessee||HFR||HF Net||Greenwich||Altvest|
|Hedge Fund Strategies : August 2018|
|Equity Market Neutral||0.04%|
|Fixed Income Arbitrage||0.17%|
|Funds of Funds||0.15%|
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