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All Edhec-Risk Alternative indexes in positive territory in April and YTD (except for Short Selling)

Tuesday, May 21, 2013
Opalesque Industry Update - In April 2013, the stock markets’ winning streak extended to six months. The S&P 500, with a 1.93% return, reached an all-time high while equity implied volatility remained extremely low, with the VIX at 13.5%. High-grade bonds rebounded (Lehman Global: 0.89%, Lehman US: 0.29%), credit spreads tightened slightly (index: 0.18%) and convertible bonds recorded another impressive performance (2.33%) confirming a trend established for almost a year. Commodities suffered a crushing 4.67% loss, the worst since May 2012, led by base metals and crude oil. The dollar, finally, slid significantly (-0.98%) erasing last month’s gains.

Equity-focused strategies all exhibited returns consistent with their modelled exposure which has been rather low lately, with a slightly negative implied alpha however: Long/Short Equity (0.65%), Equity Market Neutral (0.00%) and Event Driven (0.82%).

The Convertible Arbitrage strategy (0.54%) maintained its positive trend but did not show the usual alpha in addition to its risk factor exposures. CTA Global (2.08%) was the best performing strategy this month. The Funds of Funds strategy finally, with a 0.70% gain, and six consecutive positive months, confirmed a good start to the year 2013.

Hedge Fund Strategies

Apr 2013

YTD*

Annual Average Return since January 2001

Annual Std Dev since January 2001

Sharpe Ratio

Convertible Arbitrage

0.54%

3.0%

6.6%

7.0%

0.38

CTA Global

2.08%

3.9%

6.0%

8.4%

0.24

Distressed Securities

1.89%

6.2%

10.6%

6.1%

1.08

Emerging Markets

0.69%

4.3%

10.2%

10.4%

0.60

Equity Market Neutral

0.00%

2.0%

4.4%

2.9%

0.12

Event Driven

0.82%

4.9%

8.0%

5.9%

0.67

Fixed Income Arbitrage

0.61%

3.5%

6.3%

4.2%

0.55

Global Macro

1.15%

3.4%

6.7%

4.3%

0.63

Long/Short Equity

0.65%

5.6%

5.5%

7.1%

0.21

Merger Arbitrage

0.68%

1.6%

5.2%

3.2%

0.39

Relative Value

0.56%

4.4%

6.7%

4.6%

0.59

Short Selling

-2.90%

-9.4%

-1.6%

13.8%

-0.40

Funds of Funds

0.70%

4.1%

3.8%

4.9%

-0.04

* Cumulative return since January 1st of the current year

 

 

 


Press release

www.edhec-risk.com

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