Wed, Jul 29, 2015
A A A
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

bc

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. Bridgewater turns bearish on China[more]

    Komfie Manalo, Opalesque Asia: The world’s biggest hedge fund Bridgewater Associates and one of the most vocal of China’s potential is now turning its back against the world’s second largest economy as it joins a growing list of high-profile investors who are challenging China’s potentials.

  2. Launches - Ex-Brevan Howard star Rokos builds team for new fund, Former Och-Ziff manager’s firm starts health care hedge fund, Industry veterans launch commodity investment firm Aron Capital Management, Nikko Asset Management launches two UCITS funds, Capital Group plans to debut Asian investor targeted fund[more]

    Ex-Brevan Howard star Rokos builds team for new fund From WSJ.com: Chris Rokos, a former star trader at Brevan Howard Asset Management LLP, has hired an economist from Nomura to join the team he’s assembling for his much anticipated hedge fund launch. Mr. Rokos, whose firm is due to b

  3. Institutions - Pension fund dismisses Texas consultant, Rhode Island pension fund gets 2.2% investment return, far below assumed rate of 7.5%, New Jersey pension investments see a drop-off in returns[more]

    Pension fund dismisses Texas consultant From Sandiegouniontribute.com: The county retirement board on Thursday terminated the Texas consultant who was given the reins of the $10 billion pension fund, and whose investment picks left many employees and retirees feeling taken for a ride.

  4. SWFs - Sovereign wealth funds paid around $14 billion in fees[more]

    From SWFinstitute.org: When it comes to the financial sector, asset management is one of the most profitable industries in the world. The Boston Consulting Group put out a 2014 figure saying there is US$ 74 trillion worth of professionally-managed assets. One of the fastest growing institutional inv

  5. Investing - Carlyle teams with TCW in push for ordinary investors[more]

    From Bloomberg.com: Carlyle Group LP isn’t backing down from its goal of offering alternative strategies to the masses, despite early setbacks. The Washington-based firm is teaming up with TCW Group, which is majority owned by Carlyle funds, to offer three vehicles that give ordinary investors acces

 

banner