Industry Updates

EDHEC reports 2.76% September gain for emerging markets hedge funds

Thursday, October 18, 2012

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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