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Edhec: performance of hedge fund strategies exposed to equity-related risk factors remained positive in October

Monday, November 19, 2012
Opalesque Industry Update - In October 2012, stocks experienced a setback (S&P 500: -1.85%), with implied volatility increasing slightly (VIX: 18.6%). High-grade bonds were nearly flat (Lehman Global: -0.17%, Lehman US: -0.06%), risky credit remained strong (credit-spread index: 1.00%) extending its winning streak to 5 months whereas the convertible bonds’ rally was interrupted by a (-0.56%) loss. Commodities fell significantly (-4.20%) while the US dollar bounced back marginally (0.60%).

The performance of hedge fund strategies exposed exclusively to equity-related risk factors remained positive despite the market environment (Equity Market Neutral: 0.34%, Long/Short Equity: 0.25%) thanks to a strong dynamic alpha. The Event Driven strategy, benefiting from additional credit exposure, posted a higher 0.53%.

The Convertible Arbitrage strategy (0.04%) was almost flat, with influences of its main exposures (credit and convertibles) mostly cancelling each other out, and a slightly negative dynamic alpha.

CTA Global (-3.22%) suffered one more huge idiosyncratic loss and remains the worst amongst the main strategies this year so far (-2.95% year-to-date). Funds of Funds, finally, which maintains low overall market exposure, only lost a marginal -0.24%.


Hedge Fund Strategies

Oct 2012

YTD*

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.04%

7.5%

6.5%

7.1%

0.35

CTA Global

-3.22%

-2.9%

5.9%

8.6%

0.22

Distressed Securities

1.35%

10.0%

10.2%

6.2%

1.01

Emerging Markets

0.34%

5.1%

9.9%

10.5%

0.56

Equity Market Neutral

0.34%

2.4%

4.3%

3.0%

0.10

Event Driven

0.53%

6.8%

7.6%

6.0%

0.61

Fixed Income Arbitrage

0.72%

7.5%

6.2%

4.3%

0.51

Global Macro

-0.94%

2.1%

6.6%

4.4%

0.58

Long/Short Equity

0.25%

5.5%

5.1%

7.2%

0.15

Merger Arbitrage

-0.91%

1.6%

5.1%

3.2%

0.34

Relative Value

0.26%

7.4%

6.5%

4.6%

0.53

Short Selling

0.35%

-14.4%

-0.3%

14.0%

-0.31

Funds of Funds

-0.24%

2.7%

3.5%

5.0%

-0.10

* Cumulative return since January 1st of the current year

 

 

 


www.edhec-risk.com

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