Fixed Income Arbitrage
0.08 percent -0.20 percent 0.44 percent
Most of the firm's offerings aim to replicate the risk-adjusted return characteristics of hedge funds using strategies that include long/short equity, global macro, market neutral, event-driven, fixed income arbitrage
, emerging markets and others commonly used by hedge fund managers.
QIA aims "to replicate the risk-adjusted return characteristics of hedge funds using various hedge fund investment styles, including long/short equity, global macro, market neutral, event-driven, fixed income arbitrage
and emerging markets," according to its website.
The HFRI Relative Value Arbitrage Index posted a gain of +0.21 per cent, the fifth consecutive monthly gain for this index, with positive contributions from Fixed Income Arbitrage
, Volatility Arbitrage and Asset Backed exposures.
This fund seeks to replicate "the risk-adjusted return characteristics of the overall hedge fund universe." It tracks a composite index that is based on sub-indices for six different hedge fund strategies: emerging markets, long/short equity, global macro, market-neutral, eventdriven and fixed income arbitrage
Top performers included Fixed Income Arbitrage
(+5.5 per cent), Global Macro (+4.2 per cent) and Event Driven (+1.8 per cent).
Risk and return in fixed income arbitrage
: Nickels in front of a steamroller?
Over this period the average monthly Sharpe ratios range from -0.03 for short sellers to 0.42 for Fixed Income Arbitrage
Stark contrasted the historical performance of five indices against the S&P 500 and the Lehman High Yield Credit Bond Index over the past 10 years -- convertible arbitrage, distressed securities, the equity market neutral index, the fixed income arbitrage
and the merger arbitrage.
In July RMF GEM invested $50 million in the flagship product of 5:15 Capital Management, an unrelated fixed income arbitrage
manager based in Connecticut.