Thu, Jan 29, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

All Edhec hedge fund strategy indices positive in March and YTD except for Short Selling

Thursday, April 18, 2013
Opalesque Industry Update - In March 2013, the stock markets continued to rise for the fifth consecutive month with significant momentum. The S&P 500 gained 3.75%, registering a 10.61% progression during the first quarter of 2013. Equity implied volatility dropped sharply, reaching a five-year low of 12.7%. High-grade bonds were mixed but almost unchanged (Lehman Global: 0.10%, Lehman US: -0.21%), credit spreads were flat (index: 0.04%) and convertible bonds rebounded vigorously, benefiting from their equity component (1.34%). Commodities scored a modest 1.05% gain. The dollar, finally, maintained some momentum with a 0.79% return.

Equity-focused strategies all exhibited robust returns, however characterized by a wide dispersion in terms of dynamic alphas. The Long/Short Equity strategy (1.57%) performed in line with its modelled dynamic exposure, the Equity Market Neutral strategy (0.26%) showed mildly negative alpha, whereas the Event Driven strategy (1.52%) produced a very strong idiosyncratic return possibly indicative of market timing effects or hidden risk premia.

The Convertible Arbitrage strategy (0.83%) extended its winning streak to ten months despite convertible bonds being the single beneficial exposure among its risk factors, and falling short of explaining the full magnitude of its performance. The CTA Global strategy (1.02%) compensated for last month’s loss. The Funds of Funds strategy finally, scored a fair 0.96% gain, considering its market exposure.

EDHEC-Risk Alternative Indexes:

Hedge Fund Strategies

Mar 2013

YTD

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.83%

2.5%

6.6%

7.0%

0.38

CTA Global

1.02%

1.9%

5.9%

8.4%

0.22

Distressed Securities

1.68%

4.4%

10.5%

6.1%

1.07

Emerging Markets

1.56%

4.5%

10.3%

10.4%

0.61

Equity Market Neutral

0.26%

1.9%

4.4%

2.9%

0.13

Event Driven

1.52%

4.1%

8.0%

5.9%

0.67

Fixed Income Arbitrage

1.42%

3.2%

6.3%

4.2%

0.55

Global Macro

0.74%

2.3%

6.7%

4.3%

0.61

Long/Short Equity

1.57%

5.1%

5.5%

7.2%

0.21

Merger Arbitrage

0.71%

0.9%

5.2%

3.2%

0.38

Relative Value

1.48%

4.0%

6.7%

4.6%

0.59

Short Selling

-1.90%

-6.7%

-1.3%

13.9%

-0.39

Funds of Funds

0.96%

3.4%

3.8%

4.9%

-0.04

* Cumulative return since January 1st of the current year

 

 

 


Press release

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. Investing - U.S. investors favor currency hedged Europe ETFs as euro tumbles, Quants win back investors as Swiss franc fuels volatility gains, David Einhorn's $7bn hedge fund is loading up on this stock, Hedge fund BlueMountain Capital unveils Ocwen Financial short, claims default on notes[more]

    U.S. investors favor currency hedged Europe ETFs as euro tumbles From Reuters.com: U.S. investors stung by the falling euro who want to stay invested in Europe are turning to exchange-traded funds designed to strip out the impact of the region's currency. The biggest among so-called "cur

  2. News Briefs - Millennials use tech tools to jump into investing, Winklevoss twins to launch bitcoin exchange with FDIC insured deposits, Robertson’s legacy from hedge funds to New Zealand, Real estate managers exploring smaller open-end funds[more]

    Millennials use tech tools to jump into investing It is the Facebookification of monetary investing. From social networking platforms that enable young investors to stick to every other's stock-picking mojo, to internet sites for initially-timers hungry for a piece of the Silicon Valley

  3. Update: Prosecutors seek 12 years for hedge fund manager Francisco Illarramendi[more]

    Komfie Manalo, Opalesque Asia: Federal prosecutors have asked the court to sentence convicted hedge fund manager Francisco Illarramendi to 12 years imprisonment for running an elaborate Ponzi scheme that bilked investors hundreds of millions in dollars, including a Venezuelan pension fund, report

  4. Institutions - Ontario pension fund leader calls all asset classes ‘expensive’, Taiwan's BLF plans $2bn in alternative mandates[more]

    Ontario pension fund leader calls all asset classes ‘expensive’ From WSJ.com: The head of one of the world’s largest pension funds said that across asset classes, “everything is expensive.” Ron Mock, who leads Canada’s $141 billion Ontario Teachers’ Pension Plan, said that the plan would

  5. Opalesque Exclusive: Ex-Citi trader launches 'sleep-at-night’ long/short equity fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: After working at Citi's proprietary trading desk, managing a large portfolio between 2008 and 2011, Joel S. Salomon founded SalauMor Management in New York