Sat, Nov 28, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC reports 2.76% September gain for emerging markets hedge funds

Thursday, October 18, 2012
Opalesque Industry Update - In September, stocks maintained their uptrend (S&P 500: 2.58%), with implied volatility near historical lows (VIX: 15.7%). High-grade bonds fell slightly (Lehman Global: -0.31%, Lehman US: -0.18%), while riskier fixed-income instruments strengthened significantly (Convertibles: 1.81%, Credit-Spread Index: 1.00%). Commodities retreated after two strongly positive months (-1.38%), and the dollar downtrend persisted (-1.17%).

The performance of hedge fund strategies exposed to the equity risk factor was mostly comparable to that of last month (Equity Market Neutral: 0.42%, Event-Driven: 1.29%, Long/Short Equity: 1.63%). The directional segment however managed to be stronger still, thanks to the largest alpha, when measured through the dynamic exposure.

Convertible Arbitrage (0.57%) posted a fourth consecutive positive month, although with a lower magnitude due to a decreased exposure to stocks. CTA Global (-1.05%) suffered from exposures to negatively impacted risk factors (commodities, the dollar, and bonds). Funds of Funds, finally, have continued to improve, thanks to a 0.74% gain, and reached their high for the year.

Hedge Fund Strategies Sep 2012 YTD* Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 0.57% 7.4% 6.6% 7.2% 0.36
CTA Global -1.05% 0.3% 6.2% 8.5% 0.26
Distressed Securities 1.71% 8.5% 10.2% 6.2% 1.00
Emerging Markets 2.76% 4.8% 9.9% 10.6% 0.56
Equity Market Neutral 0.42% 2.0% 4.3% 3.0% 0.10
Event Driven 1.29% 6.3% 7.7% 6.0% 0.61
Fixed Income Arbitrage 0.81% 6.8% 6.2% 4.3% 0.50
Global Macro 0.46% 3.0% 6.7% 4.4% 0.61
Long/Short Equity 1.63% 5.3% 5.1% 7.3% 0.16
Merger Arbitrage 0.05% 2.5% 5.2% 3.2% 0.38
Relative Value 1.00% 7.1% 6.5% 4.7% 0.53
Short Selling -3.86% -14.7% -0.4% 14.0% -0.31
Funds of Funds 0.74% 3.0% 3.5% 5.0% -0.09

Corporate website: Source


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. Other Voices: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  3. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the

  4. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega

  5. More institutional investors invest in CTAs compared to last year despite dissatisfaction with performance[more]

    Benedicte Gravrand, Opalesque Geneva: "Despite a strong start to 2015 for CTAs in Q1, commodity market conditions have made return generation difficult for fund managers over much of the rest of the year to date," says Preqin’s November