Fri, Oct 31, 2014
A A A
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

fg

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. Macks aim to raise $750m for real estate debt fund[more]

    From Therealdeal.com: Father-son duo William and Richard Mack and former Blackstone Group managing director Peter Sotoloff are starting a new real estate debt fund. Together, the trio hopes to raise more than $750 million for the private equity fund, according to the Wall Street Journal. The fund wi

  2. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  3. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  4. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  5. Manager Profile - Seth Klarman: Lessons for retail and institutional investors[more]

    From Valuewalk.com: Seth Klarman is virtually unknown outside value circles, despite his impressive record and value of assets under management. On average Baupost has returned 19% p.a. despite holding a large portion of its assets in cash. During the financial crisis, Seth Klarman’s funds lost some