Relative Value Strategies Achieving Strong Performance as Fundamentals Return to Markets, According to Mellon Capital Management
June 23 2009 - 7:54AM
PR Newswire (US)
BNY Mellon Asset Management Boutique Says Trend Building since
December SAN FRANCISCO, June 23 /PRNewswire-FirstCall/ -- Relative
value investment strategies, including those employed by
quantitative funds, have produced strong returns since the end of
December 2008, when the movements of various asset classes became
much more correlated with key fundamental indicators such as
corporate earnings and corporate credit spreads, according to an
analysis by Mellon Capital Management Corporation, part of BNY
Mellon Asset Management. "This trend has become very strong since
December," said Eric Goodbar, managing director and hedge fund
strategist, Mellon Capital Management. "Before December, the
behavior of these asset classes was driven by extreme fear in the
marketplace. While the return to fundamentals has benefited
relative value strategies, strategies focused on momentum have
generally not benefited from this trend. We have seen substantial
divergence as relative value funds have significantly outperformed
other quantitative trend-based classes such as Commodity Trading
Advisors (CTA)." Relative value investors are willing to bear some
level of risk for an appropriate reward. They typically base their
decisions on the expected returns from stocks, bonds and currencies
and often invest in these asset classes throughout the world. CTAs
are more likely to add value when prices move without regard to
fundamental data. This often happens when stress events hit the
markets and investors shed risk taking exposures -- pushing aside
the knowledge about expected returns from stocks, bonds and
currencies. From December 31, 2008 through May 31, 2009, the HFRI
Relative Value (Total) Index*, which measures the performance of
relative value funds, has returned positive 11.79 percent versus
negative 0.95 percent for the Barclay CTA Index*, which measures
the performance of CTA funds and positive 2.96 percent for the
performance of U.S. equities, as measured by the Standard &
Poor's 500 Index.* Note to Editors: Founded in 1983 by innovators
in the investment management field, Mellon Capital Management
applies a disciplined and analytical approach to global investment
management strategies. As of March 31, 2009, the firm had $138.5
billion in assets under management, including assets managed by
dual officers of Mellon Capital Management and The Bank of New York
Mellon, and $11 billion in overlay strategies. Additional
information about Mellon Capital is available at
http://www.mcm.com/. The company is part of BNY Mellon Asset
Management, one of the world's largest asset managers. BNY Mellon
Asset Management is the umbrella organization for The Bank of New
York Mellon Corporation's affiliated investment management firms
and global distribution companies. The Bank of New York Mellon
Corporation is a global financial services company focused on
helping clients manage and service their financial assets,
operating in 34 countries and serving more than 100 markets. The
company is a leading provider of financial services for
institutions, corporations and high-net-worth individuals,
providing superior asset management and wealth management, asset
servicing, issuer services, clearing services and treasury services
through a worldwide client-focused team. It has $19.5 trillion in
assets under custody and administration, $881 billion in assets
under management, services more than $11 trillion in outstanding
debt and processes global payments averaging $1.8 trillion per day.
Additional information is available at http://www.bnymellon.com/.
*These indices are trademarks of Hedge Fund Research, Barclays and
Standard & Poor's, respectively. The foregoing indices/
licensors do not sponsor, endorse, sell or promote the investment
strategies or products mentioned in this article and they make no
representation regarding the advisability of investing in the
products or strategies described herein. All information source BNY
Mellon Asset Management as at 31/03/09, except where noted. This
press release is qualified for issuance in the UK and US and is for
information purposes only. It does not constitute an offer or
solicitation of securities or investment services or an endorsement
thereof in any jurisdiction or in any circumstance in which such
offer or solicitation is unlawful or not authorised. This press
release is issued by BNY Mellon Asset Management (US) and BNY
Mellon Asset Management International Limited (ex-US) to members of
the financial press and media and the information contained herein
should not be construed as investment advice. Past performance is
not a guide to future performance. Registered office of BNY Mellon
Asset Management International: The Bank of New York Mellon Centre,
160 Queen Victoria Street, London, EC4V 4LA. Registered in England
no. 1118580. Authorised and regulated by the Financial Services
Authority A Bank of New York Mellon Company(SM) DATASOURCE: BNY
Mellon Asset Management CONTACT: Mike Dunn, +1-212-922-7859, , or
Vee Montebello, +44(0)20-7-163-6246, Web Site:
http://www.bnymellon.com/
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