Mon, Mar 2, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All Edhec hedge fund strategy indices positive in March and YTD except for Short Selling

Thursday, April 18, 2013
Opalesque Industry Update - In March 2013, the stock markets continued to rise for the fifth consecutive month with significant momentum. The S&P 500 gained 3.75%, registering a 10.61% progression during the first quarter of 2013. Equity implied volatility dropped sharply, reaching a five-year low of 12.7%. High-grade bonds were mixed but almost unchanged (Lehman Global: 0.10%, Lehman US: -0.21%), credit spreads were flat (index: 0.04%) and convertible bonds rebounded vigorously, benefiting from their equity component (1.34%). Commodities scored a modest 1.05% gain. The dollar, finally, maintained some momentum with a 0.79% return.

Equity-focused strategies all exhibited robust returns, however characterized by a wide dispersion in terms of dynamic alphas. The Long/Short Equity strategy (1.57%) performed in line with its modelled dynamic exposure, the Equity Market Neutral strategy (0.26%) showed mildly negative alpha, whereas the Event Driven strategy (1.52%) produced a very strong idiosyncratic return possibly indicative of market timing effects or hidden risk premia.

The Convertible Arbitrage strategy (0.83%) extended its winning streak to ten months despite convertible bonds being the single beneficial exposure among its risk factors, and falling short of explaining the full magnitude of its performance. The CTA Global strategy (1.02%) compensated for last month’s loss. The Funds of Funds strategy finally, scored a fair 0.96% gain, considering its market exposure.

EDHEC-Risk Alternative Indexes:

Hedge Fund Strategies

Mar 2013

YTD

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.83%

2.5%

6.6%

7.0%

0.38

CTA Global

1.02%

1.9%

5.9%

8.4%

0.22

Distressed Securities

1.68%

4.4%

10.5%

6.1%

1.07

Emerging Markets

1.56%

4.5%

10.3%

10.4%

0.61

Equity Market Neutral

0.26%

1.9%

4.4%

2.9%

0.13

Event Driven

1.52%

4.1%

8.0%

5.9%

0.67

Fixed Income Arbitrage

1.42%

3.2%

6.3%

4.2%

0.55

Global Macro

0.74%

2.3%

6.7%

4.3%

0.61

Long/Short Equity

1.57%

5.1%

5.5%

7.2%

0.21

Merger Arbitrage

0.71%

0.9%

5.2%

3.2%

0.38

Relative Value

1.48%

4.0%

6.7%

4.6%

0.59

Short Selling

-1.90%

-6.7%

-1.3%

13.9%

-0.39

Funds of Funds

0.96%

3.4%

3.8%

4.9%

-0.04

* Cumulative return since January 1st of the current year

 

 

 


Press release

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. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Adamas Asset Management and Ping An Insurance to co-manage $500m debt fund[more]

    Komfie Manalo, Opalesque Asia: Hong Kong-based Adamas Asset Management and Ping An Insurance Group, one of China’s largest financial institutions, have finalized a memorandum of und

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie