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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

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