Sat, Aug 27, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC-Risk Alternative Indexes reveal strong August returns

Tuesday, September 18, 2012
Opalesque Industry Update - EDHEC-Risk reported ‘a bountiful harvest’ for hedge funds in August, with the publication of the EDHEC-Risk Alternative Indexes.

Hedge Fund Strategies Aug 2012 YTD* STD Sharpe Ratio
Convertible Arbitrage 0.64% 6.7% 7.2% 0.35
CTA Global -0.90% 1.2% 8.6% 0.27
Distressed Securities 1.21% 6.3% 6.2% 0.97
Emerging Markets 0.73% 2.0% 10.6% 0.54
Equity Market Neutral 0.75% 1.8% 3.0% 0.11
Event Driven 1.38% 5.0% 6.0% 0.60
Fixed Income Arbitrage 0.88% 6.0% 4.3% 0.50
Global Macro 0.35% 2.5% 4.4% 0.61
Long/Short Equity 1.02% 3.6% 7.3% 0.14
Merger Arbitrage 0.50% 2.5% 3.2% 0.39
Relative Value 0.93% 6.0% 4.7% 0.52
Short Selling -3.24% -10.9% 14.0% -0.29
Funds of Funds 0.93% 2.5% 5.0% -0.10

In August, stocks extended their winning streak, with the S&P 500 (2.25%) reaching a one year high in the context of slightly decreasing implied volatility (VIX: 17.5%). High-grade bonds were nearly flat (Lehman Global: -0.13%, Lehman US: 0.02%), while riskier fixed-income instruments remained strong performers (Convertibles: 1.77%, Credit-spread index: 0.45%). Commodities performed impressively (6.17%) for the second month in a row, and the Dollar confirmed a short-term downward trend (-1.34%).

Hedge fund strategies exposed to the equity risk factor, having adapted to the newly established market regime, displayed improved performances when compared to the previous month (Long/Short Equity: 1.02%, Equity Market Neutral: 0.75%, Event-Driven: 1.38%). The non-directional strategies furthermore showed significant idiosyncratic performance indicative of a possible timing effect. Convertible Arbitrage returned a steady 0.64%, with strong sensitivities to credit and convertible bonds outweighing a slight short exposure to equities. CTA Global (-0.90%) suffered from an increased dynamic exposure to the Dollar. The Funds of Funds index, finally, continued to recover thanks to a 0.93% gain, and is approaching its high for the year.

Press release

bc

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. Strategies - The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I, Hedge funds get more pushback on terms as enthusiasm for strategy wanes[more]

    The 'Holy Grail' hedge fund strategy to handle a black swan the size of World War I From IBTImes.co.uk: To illustrate a strategic gap common to today's portfolio managers, George Sokoloff, PhD, founder and CIO at Carmot Capital, proposes an interesting thought experiment – a breakdown of

  2. Institutional investors - Investors set to increase allocation to private debt, With investment income key, Richmond retirement system faces funding challenges[more]

    Investors set to increase allocation to private debt Investors are set to increase their allocation to private debt, with 60% revealing they believe the private debt market will grow over the next 12 months, according to a new study by Elian, a leading funds services provider. 41%

  3. Investing - Hedge funds snap up banks, unload Apple, Some of hedge funds' favorite stocks are finally starting to beat the market, Einhorn's Greenlight shifts positions, Treasury yield climbs to two-month high as Fischer joins hawks, 9 stocks smart investors put their money in last quarter[more]

    Hedge funds snap up banks, unload Apple From Barrons.com: Prominent hedge funds have a newfound love of big banks, and some have a distaste for shares of Apple, regulatory filings released last week show. The filings suggest that the funds have been pivoting their portfolios in recent mon

  4. Chesapeake energy seeks $1 billion loan to refinance debt[more]

    From Bloomberg.com: Chesapeake Energy Corp. is seeking a $1 billion loan as the company battered by cratering fuel prices and credit downgrades takes a step to address its $9 billion debt load. The natural gas producer hired Goldman Sachs Group Inc., Citigroup Inc. and Mitsubishi UFJ Financial Group

  5. Institutions - Nordic pension funds magnify focus on unlisted and direct investing, building up teams[more]

    From IPE.com: As bond yields remain at low or negative levels, pension funds and other institutional investors in the Nordic region are stepping up efforts to find higher returns by adding more unlisted investments to portfolios and are expanding in-house teams in order to do this, according to new