Fri, Jul 25, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All Edhec-Risk Alternative indexes in positive territory in April and YTD (except for Short Selling)

Tuesday, May 21, 2013
Opalesque Industry Update - In April 2013, the stock markets’ winning streak extended to six months. The S&P 500, with a 1.93% return, reached an all-time high while equity implied volatility remained extremely low, with the VIX at 13.5%. High-grade bonds rebounded (Lehman Global: 0.89%, Lehman US: 0.29%), credit spreads tightened slightly (index: 0.18%) and convertible bonds recorded another impressive performance (2.33%) confirming a trend established for almost a year. Commodities suffered a crushing 4.67% loss, the worst since May 2012, led by base metals and crude oil. The dollar, finally, slid significantly (-0.98%) erasing last month’s gains.

Equity-focused strategies all exhibited returns consistent with their modelled exposure which has been rather low lately, with a slightly negative implied alpha however: Long/Short Equity (0.65%), Equity Market Neutral (0.00%) and Event Driven (0.82%).

The Convertible Arbitrage strategy (0.54%) maintained its positive trend but did not show the usual alpha in addition to its risk factor exposures. CTA Global (2.08%) was the best performing strategy this month. The Funds of Funds strategy finally, with a 0.70% gain, and six consecutive positive months, confirmed a good start to the year 2013.

Hedge Fund Strategies

Apr 2013

YTD*

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.54%

3.0%

6.6%

7.0%

0.38

CTA Global

2.08%

3.9%

6.0%

8.4%

0.24

Distressed Securities

1.89%

6.2%

10.6%

6.1%

1.08

Emerging Markets

0.69%

4.3%

10.2%

10.4%

0.60

Equity Market Neutral

0.00%

2.0%

4.4%

2.9%

0.12

Event Driven

0.82%

4.9%

8.0%

5.9%

0.67

Fixed Income Arbitrage

0.61%

3.5%

6.3%

4.2%

0.55

Global Macro

1.15%

3.4%

6.7%

4.3%

0.63

Long/Short Equity

0.65%

5.6%

5.5%

7.1%

0.21

Merger Arbitrage

0.68%

1.6%

5.2%

3.2%

0.39

Relative Value

0.56%

4.4%

6.7%

4.6%

0.59

Short Selling

-2.90%

-9.4%

-1.6%

13.8%

-0.40

Funds of Funds

0.70%

4.1%

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. Events – AIMA Australian Hedge Fund Forum, Sept. 16, Sydney[more]

    AIMA Australia invite you to join us at our annual Hedge Fund Forum on Tuesday 16th September 2014 at the Sofitel Sydney Wentworth. The AIMA Australian Hedge Fund Forum is a non-profit hedge fund conference organised by the industry for the industry, featuring quality Australian and internation

  2. Opalesque Roundtable: Success in hedge fund marketing not linked to performance, but investor appetite[more]

    Komfie Manalo, Opalesque Asia: Success in marketing a fund is not linked to the performance, but to investor appetite, to the way you can market the fund, and to how much time you can spend to raise assets, said Antoine Rolland, the CEO of incubator and seeding firm

  3. Opalesque Exclusive: Loeb, Grantham cite growing economic concerns in letters[more]

    Bailey McCann, Opalesque New York: Hedge fund manager Daniel Loeb, head of Third Point, and Jeremy Grantham of Grantham, Mayo, Van Otterloo & Co. have both released their quarterly investor letters today. While news is positive on some fronts, and both men see pockets of opportunity, they also h

  4. Investing – Hedge funds expect Netflix earnings to catapult forward, Third Point's Loeb takes stakes in Fibra Uno, YPF, Royal DSM, Lake Capital in talks to back Engine Group[more]

    Hedge funds expect Netflix earnings to catapult forward From Investing.com: Netflix has made major strides forward in 2014 despite ongoing battles with the FCC and cable companies over the issue of net neutrality. The FCC has now received over 500,000 comments from the public on its pend

  5. Hedge fund manager Winton Capital making headway with long-only strategy[more]

    From PIonline.com: North American investors are helping Winton Capital Management Ltd. make progress — albeit slowly — toward its founder's goal of becoming a $100 billion company. The firm's ticket to quadrupling its assets under management is unlikely to be one of its scientifically designed manag