Thu, Nov 26, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC-Risk indices show modest returns for February

Tuesday, March 19, 2013
Opalesque Industry Update - The EDHEC-Risk Institute's Alternative Indexes showed modest gains for February, as stock markets continued to rise for the fourth consecutive month.

The S&P 500 gained 1.36%, registering a 6.61% progression since the beginning of 2013. Equity implied volatility increased moderately, however, settling at a level (VIX: 15.5%) that was still close to a five-year low. High-grade bonds improved slightly (Lehman Global: 0.53%, Lehman US: 0.21%), while risky credit proved unable to extend a nascent positive trend (Credit-Spread Index: -0.25%, Convertibles: -0.21%). Commodities suffered a 4.02% loss, wiping out nearly all of last month’s gains. The dollar, finally, staged a comeback with the first significant gain (3.03%) for 9 months.

Equity-focused strategies exhibited returns that were broadly consistent with the market dynamics. The Long/Short Equity strategy (0.41%) showed some negative alpha, the Equity Market Neutral strategy (0.34%) mildly positive alpha, whereas the Event Driven strategy (0.49%) performed in line with its modelled dynamic exposure.

The Convertible Arbitrage strategy (0.21%) managed to post its ninth consecutive gain despite almost flat equity exposure and associated fixed-income risk drivers weakening. The CTA Global strategy, structurally unable to extract any alpha from the markets in their current, persisting regime, disappointed once again with a 0.97% loss. As a mere average of lacklustre components, the Funds of Funds strategy scored an unimpressive 0.26% gain, which furthermore implies a negative idiosyncratic performance.

Press release


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: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. Investing - BlackRock targets ETF investors with flexible currency hedging, Nelson Peltz bets on General Electric Company and Mondelez International, Apple plummets to 4th place among hedge holdings, from No. 1, Top Q3 equity purchases and sales of top 50 hedge funds[more]

    BlackRock targets ETF investors with flexible currency hedging From BlackRock Inc., the world’s largest asset manager, is changing course on exchange-traded funds that protect against currency volatility. After stressing the easy switch between hedged and unhedged ET

  3. BlackRock is shutting down its Global Ascent macro fund[more]

    Komfie Manalo, Opalesque Asia: BlackRock, the world’s largest asset manager, has announced plans to shut down a macro fund, Global Ascent Fund, because of "headwinds facing the industry". The hedge fund, which makes bets on stock, bond and currency markets, will return money to investors. Ac

  4. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the

  5. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega