Mon, Jun 25, 2018
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

EDHEC-Risk indices show modest returns for February

Tuesday, March 19, 2013
Opalesque Industry Update - The EDHEC-Risk Institute's Alternative Indexes showed modest gains for February, as stock markets continued to rise for the fourth consecutive month.

The S&P 500 gained 1.36%, registering a 6.61% progression since the beginning of 2013. Equity implied volatility increased moderately, however, settling at a level (VIX: 15.5%) that was still close to a five-year low. High-grade bonds improved slightly (Lehman Global: 0.53%, Lehman US: 0.21%), while risky credit proved unable to extend a nascent positive trend (Credit-Spread Index: -0.25%, Convertibles: -0.21%). Commodities suffered a 4.02% loss, wiping out nearly all of last month’s gains. The dollar, finally, staged a comeback with the first significant gain (3.03%) for 9 months.

Equity-focused strategies exhibited returns that were broadly consistent with the market dynamics. The Long/Short Equity strategy (0.41%) showed some negative alpha, the Equity Market Neutral strategy (0.34%) mildly positive alpha, whereas the Event Driven strategy (0.49%) performed in line with its modelled dynamic exposure.

The Convertible Arbitrage strategy (0.21%) managed to post its ninth consecutive gain despite almost flat equity exposure and associated fixed-income risk drivers weakening. The CTA Global strategy, structurally unable to extract any alpha from the markets in their current, persisting regime, disappointed once again with a 0.97% loss. As a mere average of lacklustre components, the Funds of Funds strategy scored an unimpressive 0.26% gain, which furthermore implies a negative idiosyncratic performance.

Press release

bc

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. Paper: The performance of stocks actively pitched by hedge funds[more]

    Using a novel dataset drawn from investment conferences from 2008 to 2013, I show that hedge funds take advantage of the publicity of these conferences to strategically release their book information to drive market demand. Specifically, hedge funds sell pitched stocks after the conferences to ta

  2. North America - US fundraising for special purpose acquisition vehicles hits record this year[more]

    From AFR.com: Special purpose acquisition vehicles (spacs) are hitting the US market at the fastest rate on record, attracting the likes of Goldman Sachs and hedge fund investor Daniel Loeb for the two largest such deals in 2018. Spacs have raised $US4.5bn so far in 2018, the largest amount fo

  3. Investing - Man Group and AQR try to take aim at private equity industry, Hedge funds poised to be winners in AT&T-Time Warner deal[more]

    Man Group and AQR try to take aim at private equity industry From FT.com: The popularity of private equity investments has prompted asset managers such as Man Group and AQR to devise strategies that aim to replicate PE returns but at a much lower cost to investors. Both companies a

  4. News Briefs: David Stemerman's hedge fund holdings shrank before his run for governor, nvestment manager TSW triggers succession plan, Alan Howard joins Peter Thiel investing in Cologne-based fintech startup[more]

    David Stemerman's hedge fund holdings shrank before his run for governor But the U.S. holdings of Stemerman's Greenwich hedge fund, Conatus Capital, shrank from $2.6 billion at the apex to just over $1 billion before he announced his move into politics. (Hartford Courant) Inv

  5. British Empire: Pershing's 23% discount 'unsustainable'[more]

    From Citywire: The wide discount on Pershing Square Holdings (PSH) is 'unsustainable' and puts star hedge fund manager Bill Ackman under pressure, says British Empire (BTEM). Pershing is the third largest holding in the £850 million British Empire trust, managed by Joe Bauernfreund, which sp