Tue, Jan 27, 2015
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. 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. Top performing private equity firms you should invest in[more]

    Komfie Manalo, Opalesque Asia: Professor Oliver Gottschalg of Paris-based HEC Business School, also known as Ecole des Hautes Etudes Commerciales de Paris has released his annual ranking of the top performing private equity firms. The 2014 HEC-DowJones Private Equity Performance Ranking

  4. 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

  5. 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