Thu, Apr 2, 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. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Opalesque Roundtable: Emerging managers should avoid chasing 'institutional unicorns'[more]

    Bailey McCann, Opalesque New York: For managers looking to raise a new fund after the crisis, marketing efforts will need to be significantly different, according to delegates at the recent Opalesque Texas Roundtable. "Most of the smaller managers come to the whole fund-raising and marketing

  3. Cohen's private investments deliver strong 7.5% gain in Q1[more]

    From Reuters.com: Billionaire Steven A. Cohen's investments gained 7.5 percent in the first three months of 2015, according to a person familiar with the numbers, helping the former hedge fund manager extend his string of market-beating returns. Cohen's Point72 Asset Management, which invests

  4. Hedge fund launches fall again, $1bn funds found to outperform even smaller hedge funds[more]

    Komfie Manalo, Opalesque Asia: The number of new hedge fund launches fell again in 2014, the third consecutive year of decline, while fund liquidations saw their first drop since 2010, according to the latest HFR Market Microstructure Industry Report released by industry data provider HFR. Acc

  5. Opalesque Exclusive: Cyber security and hedge funds: increased awareness, Part One[more]

    Benedicte Gravrand, Opalesque Geneva: If you look at the recent cybersecurity news from Bloomberg, hackers are frightening the people: they steal photos and threaten to expose them, they can break into ATMs, they ha

 

banner