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%||14.39%||4.43%|
|Min. Monthly Return||-6.92%||-16.80%||-4.39%|
|Max. Monthly Return||3.92%||10.93%||5.31%|
|Mean Monthly Return||0.47%||0.55%||0.34%|
|Median Monthly Return||0.55%||1.07%||0.40%|
|% of winning Months||74.54%||65.74%||58.80%|
|Average Winning Return||0.95%||2.85%||1.14%|
|% of losing Months||25.46%||34.26%||41.20%|
|Average Losing Return||-0.92%||-3.87%||-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||0.78||0.93||-0.34|
|S&P Small Cap||0.70||0.87||-0.35|
|Chg in Baa - Aaa||-0.26||-0.09||0.14|
|10 years - 3 Months||-0.07||-0.03||0.11|
|Chg in 10 years - 3 Months||-0.02||-0.03||-0.05|
|Chg in VIX||-0.55||-0.67||0.19|
|in %||Hennessee||HFR||HF Net||Greenwich||Altvest|
|Hedge Fund Strategies : December 2018|
|Equity Market Neutral||0.40%|
|Fixed Income Arbitrage||-0.65%|
|Funds of Funds||-1.63%|
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