Fri, Dec 19, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Most Edhec hedge fund indices positive in August but poor stock market performances impacted equity-oriented strategies

Monday, September 20, 2010
Opalesque Industry Update - In August, the harsh stock market situation reduced July’s sharp rebound to a mere glimmer of optimism. In a context where implicit volatility was back on the rise (26.05%), the S&P 500 index almost eliminated its gains of July with a significantly negative return (-4.51%). In line with May and June’s performances, the decline in August pulled the year-to-date performance down into clearly negative territory (-4.62%).

On the fixed-income market, even though convertible bonds did not wipe out their exceptional gain in July, they did resume their downward slide (-0.81%). Regular bonds followed a more stable trend and managed a third consecutive month of gains (+0.84%). The Lehman Global Bond index yielded an even better return (+2.01%). After two months on the rise, the commodities market almost erased the previous month’s gain with a sharp drop (-4.89%). The dollar recovered partially (+1.79%) from a hectic summer period.

Similarly to its situation in June, and despite the losses of convertible bonds and a shrinking credit spread (-0.85%), the Convertible Arbitrage strategy took advantage of the plummeting stock market to manage a positive return (+1.25%) for a third consecutive month. Despite the losses on the commodities market but along with regular bonds, the CTA Global strategy managed a significant gain (+3.04%), its best since last November.

The poor performances of the stock market naturally impacted the equity-oriented strategies. After some comfortable gains in July, the Equity Market Neutral (-0.57%), Event-Driven (-0.29%) and Long/Short Equity (-0.96%) strategies all inevitably lost ground.

Curiously enough, despite its reduced exposure to the stock market, the Equity Market Neutral strategy was not the best performing among them. Conversely, the Fixed-Income Arbitrage strategy managed a significant profit (+0.99%).

Globally, the Fund-of-Fund strategy remained stable (+0.02%), clearly outperforming the S&P index.

(press release)


Hedge Fund Strategies

August 2010

YTD

Convertible Arbitrage

1.25%

6.5%

CTA Global

3.04%

1.6%

Distressed Securities

-0.36%

5.6%

Emerging Markets

0.04%

2.2%

Equity Market Neutral

-0.57%

1.1%

Event Driven

-0.29%

3.6%

Fixed Income Arbitrage

0.99%

6.3%

Global Macro

1.24%

2.1%

Long/Short Equity

-0.96%

-0.8%

Merger Arbitrage

0.70%

3.6%

Relative Value

0.34%

4.1%

Short Selling

3.27%

-1.5%

Funds of Funds

0.02%

-0.5%

*


www.edhec-risk.com

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. Investing - Big hedge funds win again on PetSmart, Riverbed, RBS sells real estate loans to hedge fund Cerberus, Talisman energy speculation: Which hedge funds could benefit?[more]

    Big hedge funds win again on PetSmart, Riverbed From CNBC.com: Another week, another set of wins for activist investors. On Sunday, pet supply retailer PetSmart agreed to the largest leveraged buyout of the year at $8.7 billion. Hedge fund firm JANA Partners had been pushing for a sale a

  2. Outlook - Hedge fund manager who remembers 1998 rout says prepare for pain, Bond guru Bill Gross predicts U.S. economic growth to dip to 2%[more]

    Hedge fund manager who remembers 1998 rout says prepare for pain From Bloomberg.com: Stephen Jen landed in Hong Kong in early January 1997 as Morgan Stanley’s newly minted exchange-rate strategist for Asia. He was soon working around the clock when investors began targeting the region’s

  3. Opalesque Exclusive: U.S. legal receivables fund launched in August[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Investing in asset-backed receivables is a strategy that has been an integral part of the alternative investment space within the overall fixed income asset c

  4. Comment - High fees and low performance hit hedge funds[more]

    From FT.com: Disenchantment over high fees and lackluster performance may finally be turning the tide against hedge funds, fresh data suggest. Despite generally weak returns since the global financial crisis, hedge funds have enjoyed positive net inflows every year since 2010. This helped assets und

  5. Performance - Lansdowne, Man Group, other hedge funds profit from shorts in oil, Turmoil boosts hedge funds that bet against Russia, oil, CTAs post strongest returns since December 2010[more]

    Lansdowne, Man Group, other hedge funds profit from shorts in oil From Valuewalk.com: The rising short interest in oil companies implies that the worst for oil is yet to come. Data from Markit shows that short exposure in energy sector of S&P 500 is still looming close to the highest mar