Mon, Apr 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. U.S. does not want hedge funds to invest in offshore re-insurers for tax purposes[more]

    Komfie Manalo, Opalesque Asia: The U.S. Treasury Department on Thursday introduced a new rule aimed at limiting hedge funds’ ability to reduce their tax bills by investing in insurance companies in offshore tax havens. As a general rule, the U.S. tax laws does not allow hedge funds to use off

  2. Ruling: Hedge funds suing Argentina can have access to bond offering details[more]

    Komfie Manalo, Opalesque Asia: U.S. District Judge Thomas Griesa in Manhattan ruled yesterday that hedge funds are entitled to details of a recent bond offering by Buenos Aires, reports

  3. Hedge funds looking to continue their rally in Q2[more]

    Komfie Manalo, Opalesque Asia: Hedge funds finished the first quarter on a strong note and are looking to continue the rally in the second quarter, said Lyxor Asset Management in its Weekly Brief. The Lyxor Hedge Fund Index is up 0.4% over the week

  4. Hedge funds down -0.17% in March (+1.23%YTD)[more]

    Bailey McCann, Opalesque New York: The hedge fund industry produced an aggregate return of –0.17% in March to end Q1 2015 up 1.23%, compared to the S&P 500 which increased 0.96%, according to the latest data from eVestment. Hedge fund performance returns were mixed in March amid increased equity

  5. Fund managers express concern of overvaluation in both equity and bond markets[more]

    Komfie Manalo, Opalesque Asia: According to the BofA Merrill Lynch Fund Manager Survey, investors see growing overvaluations in both

 

banner