Sun, Feb 18, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Edhec: performance of hedge fund strategies exposed to equity-related risk factors remained positive in October

Monday, November 19, 2012
Opalesque Industry Update - In October 2012, stocks experienced a setback (S&P 500: -1.85%), with implied volatility increasing slightly (VIX: 18.6%). High-grade bonds were nearly flat (Lehman Global: -0.17%, Lehman US: -0.06%), risky credit remained strong (credit-spread index: 1.00%) extending its winning streak to 5 months whereas the convertible bonds’ rally was interrupted by a (-0.56%) loss. Commodities fell significantly (-4.20%) while the US dollar bounced back marginally (0.60%).

The performance of hedge fund strategies exposed exclusively to equity-related risk factors remained positive despite the market environment (Equity Market Neutral: 0.34%, Long/Short Equity: 0.25%) thanks to a strong dynamic alpha. The Event Driven strategy, benefiting from additional credit exposure, posted a higher 0.53%.

The Convertible Arbitrage strategy (0.04%) was almost flat, with influences of its main exposures (credit and convertibles) mostly cancelling each other out, and a slightly negative dynamic alpha.

CTA Global (-3.22%) suffered one more huge idiosyncratic loss and remains the worst amongst the main strategies this year so far (-2.95% year-to-date). Funds of Funds, finally, which maintains low overall market exposure, only lost a marginal -0.24%.


Hedge Fund Strategies

Oct 2012

YTD*

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.04%

7.5%

6.5%

7.1%

0.35

CTA Global

-3.22%

-2.9%

5.9%

8.6%

0.22

Distressed Securities

1.35%

10.0%

10.2%

6.2%

1.01

Emerging Markets

0.34%

5.1%

9.9%

10.5%

0.56

Equity Market Neutral

0.34%

2.4%

4.3%

3.0%

0.10

Event Driven

0.53%

6.8%

7.6%

6.0%

0.61

Fixed Income Arbitrage

0.72%

7.5%

6.2%

4.3%

0.51

Global Macro

-0.94%

2.1%

6.6%

4.4%

0.58

Long/Short Equity

0.25%

5.5%

5.1%

7.2%

0.15

Merger Arbitrage

-0.91%

1.6%

5.1%

3.2%

0.34

Relative Value

0.26%

7.4%

6.5%

4.6%

0.53

Short Selling

0.35%

-14.4%

-0.3%

14.0%

-0.31

Funds of Funds

-0.24%

2.7%

3.5%

5.0%

-0.10

* 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. Chenavari, a $5.4bn hedge fund, told investors it thinks 'we could experience a similar pattern as the 1987 crash'[more]

    From Businessinsider.com: A $5.4 billion hedge fund told clients markets could tumble just like they did in the 1987 crash. In a February 14 letter to clients, London-based Chenavari Investment Managers warned about current market conditions. From the letter (emphasis added): "Our view is that

  2. Active funds shone in selloff, just like they said they would[more]

    From Bloomberg.com: For years, it's been the same refrain. Don't bail on active management, you'll regret it when the market turns sour. And while the selloff that ripped through equities this month has been too short to prove anything, early returns suggest they had a point. Thanks to differentiate

  3. No place to hide: managed futures funds fall with stocks[more]

    From Barrons.com: Managed futures mutual funds haven't lived up to their billing of providing uncorrelated returns so far in 2018, continuing a disappointing multiyear stretch. The $10 billion AQR Managed Futures Strategy, the largest fund by a wide margin in the category, was down 2.75% year-to-dat

  4. Investing - Hedge fund Bridgewater makes $22 billion bet against European firms, Hedge funds Steadfast and Suvretta jump onto CSX in fourth quarter, Tepper's Appaloosa boosts Apple, Facebook as others bolt, Third Point buys Netflix and MGM, dumps Bank of America, Moore Capital bought Wynn Resorts, other casino stocks before Steve Wynn resigned[more]

    Hedge fund Bridgewater makes $22 billion bet against European firms From Reuters/USNews.com: Bridgewater has shown its hand in Europe with a $22 billion bet against some of the continent's biggest companies, filings reviewed by Reuters show, part of a bigger shift by the world's largest

  5. Funds Profiles - Brother-run hedge fund up 46% in 2017 says Kelly formula shows diversification is flawed, How a 6,000% profit on a single trade saved a small hedge fund from disaster[more]

    Brother-run hedge fund up 46% in 2017 says Kelly formula shows diversification is flawed From Valuewalk.com: When Jeremy and Michael Kahan consider the notion of diversification, the wince. With a return of 45.8% to end 2017, their stock-picking fund, North Peak Capital, successfully