Fri, Apr 25, 2014
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   |   
Banner
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. Opalesque Exclusive: Rainwater and Blue Sky - an Australian water fund emerges[more]

    Bailey McCann, Opalesque New York: Financial reporters often tout new funds and investments as uncorrelated investments, but few can say they are uncorrelated to everything but weather. Enter Blue Sky Alternative's water fund which invests in the permanent rights to Australia's water. Sev

  2. Regulatory – Expect greater SEC scrutiny of hedge funds that share information or collaborate in advance of their trades, Alternative funds to get SEC test for leverage, liquidity[more]

    Expect greater SEC scrutiny of hedge funds that share information or collaborate in advance of their trades From Thelawyer.com: A recent Wall Street Journal article — ‘Activist investors often leak their plans to a favoured few’ — focused attention on ‘activist’ investors and stock analy

  3. …And Finally – This week's least competent criminal is Austrian[more]

    From ABCnews.go.com: A German sought by authorities for alleged fraud has been arrested in Austria — after dropping into a police station to ask officers whether he was under investigation. Police in Salzburg said the 59-year-old man walked into a police station in the city on Friday night. Sp

  4. Investing – Hedge funds find pitfalls along with profits in real estate ventures, Marcato Capital Management makes new bet on Dillard’s[more]

    Hedge funds find pitfalls along with profits in real estate ventures From Law360.com: Hedge funds have joined the rush to real estate deals and development in recent months to close the financing gap left by tightening bank standards, but attorneys say many aren't prepared for the disclo

  5. Agecroft Partners estimates 90% of hedge funds using social media[more]

    The use of social media has increased significantly within the hedge fund industry over the past couple of years. Social media is broadly used by investors as part of their due diligence process on hedge funds, by service providers in their sales efforts to hedge funds, and by hedge funds to enhance