Thu, Oct 23, 2014
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   |   

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. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  2. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  3. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  4. Goldman in talks to acquire IndexIQ[more]

    From Bloomberg.com: Can Goldman Sachs put ETF investors on a liquid diet? Goldman is in talks to acquire IndexIQ, Reuters has reported. Index IQ is a small exchange-traded-fund firm known mostly for products that replicate hedge fund strategies, called "liquid alternative" ETFs. While IndexIQ has 11

  5. Other Voices: CALPERS dilemma should be a warning to hedge funds wanting institutional investors[more]

    From Ian Hamilton, founder of IDS Group. A quick comment on the CALPERS’ disinvestment from the hedge fund market and the jitters it is causing. Pension Funds should not be sheep and follow CALPERS’ decision as the issues that CALPERS has with hedge fund investments are in many ways unique t