Sat, Jan 31, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All Edhec hedge fund indices outperformed equity market in July, most in positive territory YTD

Thursday, August 18, 2011
Opalesque Industry Update - In July, the bear trend continued on the stock market as pessimism set in among investors. The S&P 500 index (-2.03%) fell steeper, recording its third consecutive loss, accompanied by an exceptional surge (up 8.7%) of implicit volatility (25.3%) which reached the level of last summer.

On the fixed-income market, regular bonds (+0.84%) yielded a substantial profit which made up for their loss of June. The Lehman Global Bond Index (+1.82%) scored even better, and out-performed the S&P 500 index in 2011. Conversely, convertible bonds suffered heavy losses again (-1.59%). Following five months of a strong rise and two months of record losses, the commodities market (+2.58%) seemed to calm down somewhat with a nevertheless comfortable gain. The dollar (-1.20%) fell sharply.

In these mixed market conditions, after two difficult months, the hedge fund strategies delivered better performances and all outperformed the equity market.

The set-back of convertible bonds significantly impaired the Convertible Arbitrage strategy (-0.37%) which did not benefit from the receding equity market, nor from the increasing credit spread (+0.11%), and registered yet another, although limited, loss. The combination of profitable regular bonds, the rising commodities market and declining dollar sustained the CTA Global strategy (+2.70%) which yielded profits again after two months of negative performance. The regular bonds also provided a boost to the Global Macro strategy (+1.49%) which recovered its loss of June.

With a very limited exposure to the stock market, the Equity Market Neutral strategy (+0.04%) managed to remain stable. Similarly to the S&P 500 index, the Long/Short Equity (-0.21%) and Event Driven (-0.36%) strategies both recorded a third consecutive month of losses, although to a lesser extent, whereas the Merger Arbitrage strategy (-0.46%) brought up the rear of the hedge fund strategies.

Globally in July, the hedge fund industry managed well as the Fund-of-Fund strategy (+1.01%) outpaced the S&P 500 index by more than 3%. positive return.

(press release)


Hedge Fund Strategies

Jul 2011

YTD*

Convertible Arbitrage

-0.37%

2.5%

CTA Global

2.70%

-0.1%

Distressed Securities

-0.14%

4.0%

Emerging Markets

0.66%

0.1%

Equity Market Neutral

0.04%

2.5%

Event Driven

-0.36%

1.7%

Fixed Income Arbitrage

0.36%

4.7%

Global Macro

1.49%

0.9%

Long/Short Equity

-0.21%

1.0%

Merger Arbitrage

-0.46%

2.0%

Relative Value

-0.03%

2.5%

Short Selling

2.21%

-1.5%

Funds of Funds

1.01%

0.4%

* Cumulative return since January 1st of the current year


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: Ex-Citi trader launches 'sleep-at-night’ long/short equity fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: After working at Citi's proprietary trading desk, managing a large portfolio between 2008 and 2011, Joel S. Salomon founded SalaurMor Management in New Yor

  2. Investing - U.S. investors favor currency hedged Europe ETFs as euro tumbles, Quants win back investors as Swiss franc fuels volatility gains, David Einhorn's $7bn hedge fund is loading up on this stock, Hedge fund BlueMountain Capital unveils Ocwen Financial short, claims default on notes[more]

    U.S. investors favor currency hedged Europe ETFs as euro tumbles From Reuters.com: U.S. investors stung by the falling euro who want to stay invested in Europe are turning to exchange-traded funds designed to strip out the impact of the region's currency. The biggest among so-called "cur

  3. News Briefs - Millennials use tech tools to jump into investing, Winklevoss twins to launch bitcoin exchange with FDIC insured deposits, Robertson’s legacy from hedge funds to New Zealand, Real estate managers exploring smaller open-end funds[more]

    Millennials use tech tools to jump into investing It is the Facebookification of monetary investing. From social networking platforms that enable young investors to stick to every other's stock-picking mojo, to internet sites for initially-timers hungry for a piece of the Silicon Valley

  4. Update: Prosecutors seek 12 years for hedge fund manager Francisco Illarramendi[more]

    Komfie Manalo, Opalesque Asia: Federal prosecutors have asked the court to sentence convicted hedge fund manager Francisco Illarramendi to 12 years imprisonment for running an elaborate Ponzi scheme that bilked investors hundreds of millions in dollars, including a Venezuelan pension fund, report

  5. Institutions - Ontario pension fund leader calls all asset classes ‘expensive’, Taiwan's BLF plans $2bn in alternative mandates[more]

    Ontario pension fund leader calls all asset classes ‘expensive’ From WSJ.com: The head of one of the world’s largest pension funds said that across asset classes, “everything is expensive.” Ron Mock, who leads Canada’s $141 billion Ontario Teachers’ Pension Plan, said that the plan would