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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

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