Sun, Jun 25, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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

Bg

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. Legal - Bond market concerns could scuttle Paulson's Fannie-Freddie plan[more]

    From Bloomberg.com: A hedge fund proposal for freeing Fannie Mae and Freddie Mac from U.S. control is poised to face stiff opposition from investors who say it risks wrecking the mortgage-bond market. The Moelis & Co. blueprint, which firms including Paulson & Co. and Blackstone Group LP sponsored,

  2. Other Voices: Are your pricing policies and procedures for less liquid instruments adequate?[more]

    Komfie Manalo, Opalesque Asia: The unrelated position mismarking incidents that quickly precipitated the closures of both Visium Asset Management and Marinus Capital have been recent focal points for market participants, but regulatory scrutiny of valuation choices for less liquid instruments is

  3. FinTech - AI hedge fund Numerai now live on Ethereum, Cryptocurrency hedge funds generate huge returns as bitcoin surges[more]

    AI hedge fund Numerai now live on Ethereum From Cryptoninjas.net: Back in February, Numerai announced numeraire (NMR), a cryptographic token to incentivize a new kind of hedge fund built by a network of data scientists. Earlier today, the Numeraire smart contract was officially deployed

  4. Investing - Advisors slash hedge fund positions, Theravance Biopharma is a top pick of investment guru Seth Klarman, As asset management industry grows a search for new revenue streams[more]

    Advisors slash hedge fund positions From Barrons.com: Financial advisors have cut wealthy clients' exposure to hedge funds by up to one third over the past 12 months, The Financial Times reports. Advisor firms in the FT's annual top-300 ranking have reduced their hedge fund allocation to

  5. Barclay Hedge Fund index gains 0.50% in May, 4.13% YTD[more]

    Hedge funds gained 0.50% in May according to the Barclay Hedge Fund Index compiled by BarclayHedge. The Index is up 4.13% in 2017. The Barclay Hedge Fund Index has now been profitable for seven months in a row, with a cumulative gain of 6.10%. The Barclay Technology Index has gained 12.27% in the fi