Wed, Aug 5, 2015
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. Activist News - Celgene says patent-fighting hedge fund manager wants to short its shares[more]

    From Reuters.com: Celgene Corp, one of the world's largest biotechnology companies, has accused U.S. hedge fund manager Kyle Bass of attempting to profit from his attempts to wipe out several major drug patents through his Coalition for Affordable Drugs. The company asked the U.S. Patent and T

  2. Einhorn's Greenlight Capital hedge fund slumps 6.1 percent in July[more]

    From Reuters/Thefiscaltimes.com: Hedge fund mogul David Einhorn's Greenlight Capital slumped 6.1 percent in July and is now down 9 percent for the year after gold, one of the fund's top holdings, tumbled to five-year lows last week. Greenlight notified clients of its returns late on Friday, ac

  3. Performance - Some hedge fund small-cap energy stocks have been free falling, Dan Loeb's simple strategy destroys the market, Baupost lost 1.4% last quarter as energy bargains proved elusive[more]

    Some hedge fund small-cap energy stocks have been free falling From Marketrealist.com: According to a July 28, 2015, Bloomberg article, there was a 34% fall in small-cap energy stocks over the past three months. These shares are tracked by the Russell 2000 Energy Index. Small-cap energy

  4. Legal - Hedge funds hit Rothstein Kass with $75m malpractice suit, JPMorgan questioned on private bank’s hedge fund disclosures, Kijani fund, seized by regulators in Cayman Islands, spotlights risks in lightly regulated market[more]

    Hedge funds hit Rothstein Kass with $75m malpractice suit From Law360.com: Two investment funds have sued Rothstein Kass & Co. PC for at least $75 million, claiming the New Jersey auditing firm committed accounting malpractice by failing to properly scrutinize overblown valuations of the

  5. Assets - Hedge funds are getting smoked by the commodities slump, Global ETF assets could more than double by 2020[more]

    Hedge funds are getting smoked by the commodities slump From Businessinsider.in: The collapse in commodity prices has burnt another hedge fund. Vermillion, a commodity hedge fund backed by Carlyle Group, has seen its flagship fund's assets fall from nearly $2 billion to less $50 million,

 

banner