Thu, Nov 27, 2014
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 - George Soros puts $500m of his money on Bill Gross, Soros, Paulson backed Hispania Activos mulls Realia takeover, Ex-Credit Suisse trader’s hedge fund sees yen shorts as crowded, Hedge hunters double default-swaps as views split, Large hedge fund positions come under pressure, Vikram Pandit's fund picks 50% stake in JM Financial's realty lending arm for $87m[more]

    George Soros puts $500m of his money on Bill Gross From WSJ.com: Before Bill Gross was fully settled in at his new firm, Janus Capital Group Inc., he received an unlikely visit from the chief investment officer of famed investor George Soros ’s firm, according to a person familiar with t

  2. Unlucky Paulson & Co. rebrands $1.6bn Recovery Fund after 13% drop[more]

    From Businessweek.com: A maturing U.S. economic recovery is prompting Paulson & Co. to change course. The $19 billion hedge fund firm, led by billionaire John Paulson, told investors on a conference call this month that the Paulson Recovery Fund will be renamed Paulson Special Situations Fund on Jan

  3. Europe - Hedge funds face exit tax as Iceland central bank discusses plan[more]

    From Bloomberg.com: Hedge funds and other creditors with claims against Iceland’s failed banks face an exit tax as the island looks for ways to unwind capital controls without hurting the economy. The government targets having a plan it can present by year-end that would map out how Iceland will sca

  4. Opalesque Exclusive: Risk management emerges as a competitive focus area for hedge funds[more]

    Bailey McCann, Opalesque New York: Risk management has always been a core component of any trading strategy, as well as a critical part of business management. However, as macreconomic weakness persists, and alpha becomes increasingly hard to generate, risk management as emerged as a more promin

  5. Gross: Inflation is required to pay for prior inflation[more]

    Benedicte Gravrand, Opalesque Geneva: As inflation rises, every dollar will buy a smaller percentage of a good. While deflation will mean a decrease in the general price level of goods and services. These two economic conditions are both in the waiting room. The consensus would like the former to