In summary…
The period under review includes ‘the worst cross asset selloff since 1981’ with simultaneous declines across equities, commodities, corporate and government bonds.
In the 12 months through October 2022, arbitrage funds delivered an average return of +3.8%.
Performance relative to the rest of the hedge fund universe was significantly above average, with arbitrage the fourth strongest performing master strategy in the 12 months through October 2022.
On a risk-adjusted basis, when looking at the last three years, the arbitrage strategy has delivered a Sharpe of 1.6, with only the multi-strategy funds outperforming (+2.4).
