Thu, Oct 20, 2016
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:

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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Macro hedge funds up 3.3% in one week on Fed and Brexit pays off[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the p