Relative value investment strategies have had strong returns since the end of 2008 as movements of various asset classes have become more correlated with fundamental indicators such as corporate earnings and credit spreads, according to an analysis by Mellon Capital Management.
From Dec. 31 through May 31, the HFRI Relative Value (Total) index returned 11.79%, compared to a 0.95% drop in the Barclay Commodity Trading Advisors index and a 2.96% return for the S&P 500.
“Before December, the behavior of these asset classes was driven by extreme fear in the marketplace,” Eric Goodbar, managing director and hedge fund strategist at Mellon Capital Management, said in a news release. “While the return to fundamentals has benefited relative value strategies, strategies focused on momentum have generally not benefited from this trend.”
Mellon Capital Management is a subsidiary of BNY Mellon Asset Management.
