Although gains in arbitrage strategies slowed in February after a strong start to the year, a number of funds posted decent returns.
The SSARIS Multi-Manager Relative Value fund was up 0.75% to put three-month numbers at 3.67%. The fund, which was up 25.45% in 2007, has a high allocation to fixed income, arbitrage and event-driven strategies, which have been boosting performance. The SSARIS Multi-Manager Relative Value Strategy also allocates to convertibles.
GAM Multi-Arbitrage was up 0.55%, leaving three-month numbers at -1.03%, with volatility trading managers within the portfolio starting to gain traction during the month.
Edmond de Rothschild Prifund