Thu, May 26, 2016
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. Paul Tudor’s hedge fund trims fee amidst poor performance, keep investors[more]

    Komfie Manalo, Opalesque Asia: Paul Tudor’s $11.6bn hedge fund firm Tudor Investment Corp. announced on Monday it would slash down fees of one of its biggest fund to 2.25% of assets and 25% of profits amidst backlash arising from poor performa

  2. Ares Capital to buy American Capital in $3.4 billion deal[more]

    From PIOnline.com: Ares Management's business development company Ares Capital Corp. is buying troubled BDC American Capital for $3.43 billion, said a joint news release by the BDCs and another release by Ares Management. Ares Capital Corp.'s assets are expected to grow to about $13.2 billion when t

  3. Performance - Hedge fund ETFs take a battering, Have long-short credit funds delivered?[more]

    Hedge fund ETFs take a battering From ETFStrategy.co.uk: It was a blow for the hedge fund world when Hillary Clinton’s son-in-law Marc Mezvinsky announced he would be closing his Greek-focused fund after it plummeted in value by 90%, just two years after it launched. For passive investor

  4. West Virginia objects to Alpha Natural sale to hedge fund[more]

    From AP/Heraldcourier.com: West Virginia's environmental authority has filed an objection to the proposed $500 million sale of Alpha Natural Resources' assets to a hedge fund, arguing that the deal could leave the state holding hundreds of millions in reclamation liabilities. The Register-Hera

  5. Launches - Man Group and American Beacon launch new emerging debt fund, Nikko AM launches new Japan equity UCITS fund[more]

    Man Group and American Beacon launch new emerging debt fund American Beacon Advisors, an experienced provider of investment advisory services to institutional and retail markets, launched the American Beacon GLG Total Return Fund today. The Fund became effective May 20. The America