Fri, Sep 4, 2015
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. Cliff Asness attracts $360 million as liquid alternative funds hold up[more]

    From Bloomberg.com: As U.S. stocks suffered their worst month in more than three years in August, Clifford Asness’s managed futures fund was able to profit. Investors are taking notice. The $9.12 billion AQR Managed Futures Strategy Fund pulled in an estimated $360 million in net subscriptions last

  2. Opalesque Exclusive: When the SEC calls, fund managers need to get out of their own way[more]

    Bailey McCann, Opalesque New York: New pressure is hitting alternative investment funds from all angles. So far this month both hedge fund and private equity players have seen enforcement actions, and subsequent fines over fees, disclosures, and misleading statements. Citi one of the biggest

  3. Performance - Einhorn and Loeb's hedge funds both decline 5% in August, Some target-date funds miss in the market turmoil[more]

    Einhorn and Loeb's hedge funds both decline 5% in August From Reuters.com: Hedge fund billionaires David Einhorn and Daniel Loeb saw their main funds lose roughly 5 percent in August during a dramatic market sell off, two people familiar with their returns said on Monday. Einhorn's

  4. Fortress hedge fund manager David Dredge says markets trouble on the way[more]

    From AFR.com: David Dredge of global hedge fund Fortress has built a career studying, predicting and protecting against the world's major financial crises. The recent convulsions in global sharemarkets are "just the beginning" of a painful adjustment as money drains from the emerging market economie

  5. North America - Puerto Rico agency plans talks with hedge fund creditors[more]

    From WSJ.com: Puerto Rico’s Government Development Bank is planning to begin confidential debt-restructuring talks with hedge funds that own its bonds as early as next week, said a person familiar with the matter. The parties are set to discuss a plan under which the investors would lend additional

 

banner