Sun, Sep 24, 2017
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. iCapital Network enters deal to acquire innovative U.S. private equity access fund platform from Deutsche Bank[more]

    Komfie Manalo, Opalesque Asia: Financial technology platform iCapital Network has entered into a definitive purchase agreement to acquire the US Private Equi

  2. Asia - Hedge funds used to love shorting China. Now, not so much, Fledgling China FoFs require careful use: NCSSF, Amac, Japanese banks turn to PE, hedge funds for returns[more]

    Hedge funds used to love shorting China. Now, not so much From Bloomberg.com: A sharp devaluation. A credit crisis. And an economic hard landing. That's what some of the biggest names in the hedge fund industry were predicting for China after the nation's stocks and currency tumbled in 2

  3. Launches - Orchard launches new credit platform, ETN based on hedge fund to launch on the LSE[more]

    Orchard launches new credit platform Orchard Platform has rolled out Deals as a part of its new platform launch. With the addition of Deals to their suite of technology solutions for loan originators and institutional investors, Orchard Platform takes the next step in their evolution. De

  4. Neuberger Berman closes $1.1bn Credit Opportunities Fund[more]

    Neuberger Berman, a private, independent, employee-owned investment manager, announced that NB Private Equity Credit Opportunities Fund LP closed on $1.1 billion of limited partner commitments. The Fund seeks to invest in the secured and unsecured debt of private equity-backed companies, primarily i

  5. Capital Dynamics launches mid-market private credit business[more]

    Capital Dynamics, a global private asset manager, has launched a dedicated Private Credit Asset Management business. Experienced industry executives Jens Ernberg and Thomas Hall have joined Capital Dynamics to co-lead the company's new private credit initiative. They are based in Capital Dynamics' N