Fri, Aug 26, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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


Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Institutional investors - Investors set to increase allocation to private debt, With investment income key, Richmond retirement system faces funding challenges[more]

    Investors set to increase allocation to private debt Investors are set to increase their allocation to private debt, with 60% revealing they believe the private debt market will grow over the next 12 months, according to a new study by Elian, a leading funds services provider. 41%

  2. Investing - Hedge funds snap up banks, unload Apple, Some of hedge funds' favorite stocks are finally starting to beat the market, Einhorn's Greenlight shifts positions, Treasury yield climbs to two-month high as Fischer joins hawks, 9 stocks smart investors put their money in last quarter[more]

    Hedge funds snap up banks, unload Apple From Barrons.com: Prominent hedge funds have a newfound love of big banks, and some have a distaste for shares of Apple, regulatory filings released last week show. The filings suggest that the funds have been pivoting their portfolios in recent mon

  3. Chesapeake energy seeks $1 billion loan to refinance debt[more]

    From Bloomberg.com: Chesapeake Energy Corp. is seeking a $1 billion loan as the company battered by cratering fuel prices and credit downgrades takes a step to address its $9 billion debt load. The natural gas producer hired Goldman Sachs Group Inc., Citigroup Inc. and Mitsubishi UFJ Financial Group

  4. Institutions - Nordic pension funds magnify focus on unlisted and direct investing, building up teams[more]

    From IPE.com: As bond yields remain at low or negative levels, pension funds and other institutional investors in the Nordic region are stepping up efforts to find higher returns by adding more unlisted investments to portfolios and are expanding in-house teams in order to do this, according to new

  5. Strategies - The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I, Hedge funds get more pushback on terms as enthusiasm for strategy wanes[more]

    The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I From IBTImes.co.uk: To illustrate a strategic gap common to today's portfolio managers, George Sokoloff, PhD, founder and CIO at Carmot Capital, proposes an interesting thought experiment – a breakdown of