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All Edhec indices positive in July except for Short-Selling and CTA, Emerging Markets and Convertible Arbitrage indices best performers

Wednesday, August 18, 2010
Opalesque Industry Update - After two months of severe disappointment, stock market investors seemed to renew with unbridled optimism in July, with the S&P 500 index exhibiting extraordinary performance (+7.01%) - its best return over the past twelve months - and implied volatility (23.50%) dropping by one third.

Similarly, on the fixed income market, convertible bonds turned positive to record their best performance (+5.42%) over the past year. Regular bonds registered a second month of significant gains (+0.99%), while the Lehman Global Bond Index (+0.68%) appeared more cautious. The commodities market soared (+5.98%) whereas the dollar fell sharply (-4.30%), taking its most severe hit since May 2009.

Favourably impacted by the remarkable returns of convertible bonds and the renewed rise (+1.15%) in the credit spread, the Convertible Arbitrage strategy registered a significant return (+2.32%) that was somewhat moderated by the booming stock markets. Despite its significant long-term positive correlations with regular bonds and commodities, the CTA Global strategy only managed to record a limited yet disappointing loss (-0.48%).

On the other hand, the S&P 500 performance greatly benefited the equity-oriented strategies. First and foremost, both the Long/Short Equity (+2.13%) and Event Driven (+1.83%) strategies returned to profitability. Even though it is in essence poorly correlated with the stock markets, the Equity Market Neutral strategy recorded its most significant gain (+1.04%) since May 2009.

Overall, almost all hedge-fund strategies scored positively and, in such a favorable context, the Fund of Funds strategy exhibited a solid profit (+0.77%).

EDHEC-RISK Hedge Fund Strategies

July 2010

YTD

Convertible Arbitrage

2.32%

5.2%

CTA Global

-0.48%

-1.1%

Distressed Securities

1.51%

6.0%

Emerging Markets

3.04%

2.2%

Equity Market Neutral

1.04%

1.8%

Event Driven

1.83%

4.1%

Fixed Income Arbitrage

1.08%

5.4%

Global Macro

0.50%

1.1%

Long/Short Equity

2.13%

0.4%

Merger Arbitrage

1.22%

2.8%

Relative Value

1.84%

3.8%

Short Selling

-4.31%

-4.7%

Funds of Funds

0.77%

-0.5%

www.edhec-risk.com


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