Tue, Apr 28, 2015
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. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

  4. Update: Wall Street has strong feelings about Jon Corzine trying to make a comeback[more]

    From Businessinsider.com.au: Former New Jersey Governor Jon Corzine is thinking about starting his own hedge fund, according to the Wall Street Journal, and because of the way his last firm imploded, Wall Street has strong feelings about that. “Truth is the larger seeders would never give him money

  5. Opalesque Exclusive: Cybersecurity and hedge funds - A manager’s experience, Part Four[more]

    Benedicte Gravrand, Opalesque Geneva: Ruane, Cunniff and Goldfarb, Inc. used to have their own IT infrastructure. Todd Ruoff, Executive Vice President in charge of trading, operations and technology, was responsible for its maintenance. Then he started looking at outsourced providers a couple of

 

banner