Wed, Jan 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Most EDHEC hedge fund indices failed to escape market turmoil in May

Tuesday, June 19, 2012
Opalesque Industry Update - After a rather quiet month of April, markets in May experienced the first significant shock in the year 2012, and switched back to a stress regime reminiscent of September 2011, in the context of the persistent euro-zone turmoil. Stocks suffered a huge setback (S&P 500: -6.01%), with implied volatility jumping markedly and reaching a level not seen since the end of last year (VIX: 24.1%). While the riskier fixed-income market segments were severely impacted (Credit Spread Index: -1.62%, Convertibles: -4.65%), high grade corporate bonds rose significantly (Lehman Global: 1.72%). A global plunge in commodity prices (-12.95%) sent the index crashing to last September’s level. The US Dollar, in contrast, having recently emerged as a safe haven, gained 4.60%, nearing a 2-year high.

The Equity Market Neutral (-1.19%) and Event Driven (-1.90%) strategies’ performance was consistent with their dynamic exposure to the stock market. The Long/Short Equity strategy (-3.74%) on the other hand exhibited negative alpha. The Short Selling strategy gained 7.23%, more than implied by either its long-term or short-term beta, showing some positive market timing effect.

Although the Convertible Arbitrage strategy lost 0.84%, it proved to be particularly resilient when considering the shocks undergone by its risk drivers: in terms of alpha it remains the best-performing strategy of the year 2012. Distressed Securities (-1.51%) logically suffered from the deterioration of the credit markets, but maintained some alpha.

The CTA Global strategy gained 2.90% in a large swing that brought it back into positive territory for the year to date, confirming its status as a diversifier amongst alternative strategies.

Finally, the Funds of Funds strategy lost 1.59%, and has barely remained positive since the beginning of 2012. Corporate website: www.edhec-risk.com

Hedge Fund Strategies May 2012 YTD* Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage -0.84% 4.2% 6.5% 7.3% 0.34
CTA Global 2.90% 2.2% 6.6% 8.6% 0.30
Distressed Securities -1.51% 4.6% 10.1% 6.3% 0.98
Emerging Markets -5.83% -0.4% 9.7% 10.7% 0.53
Equity Market Neutral -1.19% 0.6% 4.3% 3.0% 0.10
Event Driven -1.90% 3.0% 7.6% 6.1% 0.59
Fixed Income Arbitrage 0.15% 3.5% 6.1% 4.4% 0.47
Global Macro -0.33% 1.7% 6.8% 4.4% 0.63
Long/Short Equity -3.74% 1.5% 4.9% 7.4% 0.13
Merger Arbitrage -0.57% 1.6% 5.3% 3.2% 0.40
Relative Value -1.09% 3.0% 6.3% 4.7% 0.49
Short Selling 7.23% -5.9% 0.5% 14.1% -0.25
Funds of Funds -1.59% 0.9% 3.5% 5.1% -0.11
* Cumulative return since January 1st of the current year




- fg

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 - U.S. investors favor currency hedged Europe ETFs as euro tumbles, Quants win back investors as Swiss franc fuels volatility gains, David Einhorn's $7bn hedge fund is loading up on this stock, Hedge fund BlueMountain Capital unveils Ocwen Financial short, claims default on notes[more]

    U.S. investors favor currency hedged Europe ETFs as euro tumbles From Reuters.com: U.S. investors stung by the falling euro who want to stay invested in Europe are turning to exchange-traded funds designed to strip out the impact of the region's currency. The biggest among so-called "cur

  2. News Briefs - Millennials use tech tools to jump into investing, Winklevoss twins to launch bitcoin exchange with FDIC insured deposits, Robertson’s legacy from hedge funds to New Zealand, Real estate managers exploring smaller open-end funds[more]

    Millennials use tech tools to jump into investing It is the Facebookification of monetary investing. From social networking platforms that enable young investors to stick to every other's stock-picking mojo, to internet sites for initially-timers hungry for a piece of the Silicon Valley

  3. Comment - Why invest in hedge funds if they don't outperform the market?[more]

    From Forbes.com: Hedge funds have always been a bit exotic and an enigma to some, but bottom line they are supposed to produce good returns using a range of strategies including global macro, event driven and relative value (arbitrage). And, sophisticated or high-net-worth individuals (HNWIs) could

  4. Owen Li 'truly sorry' for blowing up $100m of hedge fund’s assets[more]

    From CNBC.com: A hedge fund manager told clients he is "truly sorry" for losing virtually all their money. Owen Li, the founder of Canarsie Capital in New York, said Tuesday he had lost all but $200,000 of the firm's capital—down from the roughly $100 million it ran as of late March. "I take r

  5. Indices - Barclay CTA Index gains 7.71% in 2014; largest traders return 12.31% for the year, Wilshire Liquid Alternative Index family outperforms investable hedge fund index counterparts in 2014[more]

    Barclay CTA Index gains 7.71% in 2014; largest traders return 12.31% for the year The Barclay CTA Index compiled by BarclayHedge gained 7.71% in 2014. The Barclay BTOP50 Index, which measures performance of the largest CTAs, was up 12.31% in 2014. “The BTOP50 had a strong finish, e