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||4.06%||14.30%||4.46%|
|Min. Monthly Return||-6.92%||-16.80%||-4.39%|
|Max. Monthly Return||3.92%||10.93%||5.31%|
|Mean Monthly Return||0.50%||0.60%||0.34%|
|Median Monthly Return||0.57%||1.08%||0.40%|
|% of winning Months||76.08%||65.55%||58.85%|
|Average Winning Return||0.96%||2.88%||1.14%|
|% of losing Months||23.92%||34.45%||41.15%|
|Average Losing Return||-0.95%||-3.75%||-0.81%|
|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||0.73||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||0.18|
|10 years - 3 Months||-0.10||-0.05||0.11|
|Chg in 10 years - 3 Months||-0.02||-0.03||-0.05|
|Chg in VIX||-0.55||-0.66||0.20|
|in %||Hennessee||HFR||HF Net||Greenwich||Altvest|
|Hedge Fund Strategies : May 2018|
|Equity Market Neutral||0.33%|
|Fixed Income Arbitrage||0.16%|
|Funds of Funds||0.73%|
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