Wed, Aug 24, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Edhec Indices: All but one strategy registered solid returns in September

Tuesday, October 19, 2010
Opalesque Industry Update - The ebb and flow of the stock market over the past few months continued in September, notably with the S&P 500 index surging (+8.92%) and implied volatility (23.70%) decreasing by 2.35%. With its best return since the rebound of spring 2009, the S&P 500 index managed a profitable year-to-date performance.

On the fixed-income market, risky bonds also benefited from the ambient optimism and managed an outstanding performance (+5.59%) while regular bonds remained stable (-0.01%), like the Lehman Global Bond Index (+0.02%). The commodities market also registered its best performance (+9.40%) over the past sixteen months. The dollar fell sharply (-4.21%).

The rise of convertible bonds and of the credit spread (+1.00%) sustained the convertible arbitrage strategy (+1.93%) which managed a fourth consecutive month of profits. With only one monthly loss over the past twenty-two months, it confirmed its status as best-performing strategy (+8.52% YTD) of the year.

Despite the stability of bonds but following the upward trend on the commodities market, the CTA Global strategy registered a second month of solid profits (+2.60%). Benefiting from the good performance of the stock market, the Event Driven (+2.94%) and Long/Short Equity (+4.26%) strategies naturally scored well. Despite its limited exposure to the stock market, the Equity Market Neutral (+1.81%) strategy even managed its best performance over the last ten years!

Globally, all but one strategy registered solid returns in September and, with its most profitable performance in sixteen months, the Fund-of-Funds strategy (+2.20%) finally renewed with a positive year-to-date performance (+1.70% YTD).


Hedge Fund Strategies

September 2010

YTD

Convertible Arbitrage

1.93%

8.5%

CTA Global

2.60%

4.3%

Distressed Securities

2.34%

7.9%

Emerging Markets

4.63%

7.1%

Equity Market Neutral

1.81%

3.1%

Event Driven

2.94%

6.6%

Fixed Income Arbitrage

1.24%

7.5%

Global Macro

3.03%

5.1%

Long/Short Equity

4.26%

3.5%

Merger Arbitrage

1.37%

5.0%

Relative Value

2.22%

6.4%

Short Selling

-8.63%

-9.4%

Funds of Funds

2.20%

1.7%

(press release)


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. Opalesque Exclusive: Algorithms platform aims to target typical challenges found in quantitative hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva: Last month, Quantopian received investments from Point72 Ventures, the new venture capital arm of Steven Cohen’s Point72 Asset Management.

  2. LatAm hedge funds surge in 1H to +24.4%, emerging markets assets rise[more]

    Komfie Manalo, Opalesque Asia: Hedge funds investing in Latin America posted strong gains through mid-2016, reversing declines in four of the past five years, including the last three years, to lead all areas of hedge fund performance through the first half of 2016, according to the latest HFR Em

  3. Opalesque Roundtable: Low and high fee investments often better than mid fee hedge funds[more]

    Komfie Manalo, Opalesque Asia: Hedge funds that charge the low and high fees stuff often provide better returns than "those sort of mid-fee investments", said Keith Haydon, chief investment officer of Man FRM. (Alternative) investment managers who charge high fees would often provide the most int

  4. Hedge fund investors pull $5.7 billion in July[more]

    From Bloomberg.com: Hedge funds suffered a third consecutive month of outflows in July as investors withdrew $5.7 billion, according to industry tracker Eurekahedge. Redemptions totaled $20.7 billion in the three months through July, with money managers betting on equities suffering $18.4 bill

  5. …And Finally - Police contact Catholic Church after baffling ‘poltergeist’ report[more]

    From Telegraph.co.uk: Police officers in Scotland have called in representatives from the Catholic Church after investigating reports of “disturbing incidents” of a "poltergeist" at a family home. A mother and her teenage son were said to be “extremely distressed” after experiencing what the D