April moves in the same pattern as 1Q17 for hedge funds as they exhibit another positive month, which leads to 13 of the last 14 months. The only disappointment so far is CTA and Macro strategies with investors redeeming from those strategies, a totally reverse scenery than same time last year.
|
Credit/Fixed Income Strategies |
2017 YTD Return |
Annualised Return |
Annualised Volatility |
Sharpe Ratio |
Sortino Ratio |
|
SMC Credit Strategy Index |
2.10% |
8.67% |
3.96% |
4.87 |
1.04 |
|
Credit Suisse Fixed Income Index |
2.32% |
5.18% |
5.17% |
0.62 |
-0.27 |
|
HFRX Credit/Fixed Income Index |
1.17% |
5.80% |
5.31% |
0.71 |
-0.26 |
|
UAIX Fixed Income-Global (UCITS) |
1.07% |
5.78% |
4.57% |
1.26 |
1.94 |
|
BofA ML US Corporate Master Index |
1.50% |
7.51% |
6.40% |
0.86 |
-0.15 |
|
Equity Strategies |
2017 YTD Return |
Annualised Return |
Annualised Volatility |
Sharpe Ratio |
Sortino Ratio |
|
SMC Equity Strategy Index |
4.60% |
11.02% |
11.71% |
0.82 |
0.26 |
|
Credit Suisse L/S Equity Hedge Index |
3.46% |
8.67% |
9.12% |
0.73 |
-0.06 |
|
HFRX Equity Hedge Index |
2.63% |
5.30% |
7.96% |
0.41 |
-0.20 |
|
UAIX L/S Equity (UCITS) |
2.49% |
6.62% |
5.38% |
1.23 |
1.88 |
|
S&P 500 |
5.47% |
7.36% |
14.37% |
0.37 |
-0.09 |
|
Tactical Trading Strategies |
2017 YTD Return |
Annualised Return |
Annualised Volatility |
Sharpe Ratio |
Sortino Ratio |
|
SMC Tactical Trading Strategy Index |
2.46% |
21.58% |
19.93% |
1.45 |
1.11 |
|
Credit Suisse Global Macro Index |
0.24% |
9.97% |
8.87% |
0.90 |
0 |
|
HFRX CTA Index |
-1.26% |
3.71% |
9.47% |
0.18 |
-0.24 |
|
HFRX RV Volatility Index |
1.82% |
4.67% |
4.63% |
0.57 |
-0.42 |
|
CBOE Eurekahedge RV Volatility Index |
1.81%* |
9.26% |
3.74% |
1.94 |
-0.36 |
|
UAIX CTA (UCITS) |
-3.51% |
7.41% |
11.10% |
0.67 |
1.05 |
|
Fund of Hedge Funds Strategies |
2017 YTD Return |
Annualised Return |
Annualised Volatility |
Sharpe Ratio |
Sortino Ratio |
|
SMC FoHF Strategy Index |
2.97% |
6.40% |
7.16% |
0.63 |
-0.08 |
|
HFRI FoHF Index |
2.25% |
6.67% |
5.53% |
0.84 |
-0.34 |
|
UAIX Multi-Strategy (UCITS) |
3.55% |
5.32% |
4.78% |
1.11 |
1.56 |
|
SMC Single Manager Cross-Asset Index |
2.85% |
13.68% |
11.28% |
2.75 |
0.88 |
|
SMC Cross-Asset Index |
2.86% |
13.16% |
10.98% |
2.60 |
0.81 |
As Per YTD March 2017, Stone Mountain Capital Research
Stone Mountain Capital’s mandated macro and CTA strategies perform better than their benchmarks in Q1 2017, which highlights the importance of selection in an exciting asset class. Fixed Income strategies recouped their losses in March and are continuing their rally alongside Stone Mountain Capital’s credit/fixed income strategies in Q1. Equity strategies are enjoying a profitable year, reflecting the stabilisation, or better the avoidance of extreme results in French elections, with Nasdaq rising to an all-time high. Investors are monitoringthe tension in North Korea and the failure in their missile attack tests was a welcomed news of confidence. Equity strategies are the best performers across our asset classes in Q1, covering three spots in our Top-5 year-to-date. Finally, Bitcoin currently trades at an all-time high, with its price breaking $1340. This is mainly a result of major governments such as Japan, Russia and India regulating bitcoin as a legitimate currency and the review of the SEC bitcoin ETF refusal decision.
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