Fri, Aug 28, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

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

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. Commodities - Commodity hedge funds lose most in three years as rout deepens, Funds bet on Shell deal as oil prices plunge[more]

    Commodity hedge funds lose most in three years as rout deepens From Bloomberg.com: Hedge funds betting on commodities lost the most in almost three years in July as the price-rout deepened. Funds lost money for a third month, according to the Newedge Commodity Trading Index, which was re

  2. Investing - Hedge funds suddenly find real money is back in Argentina's debt, Elon Musk buys more SolarCity stock following hedge fund manager short, BlackRock plans to get into rental-home financing[more]

    Hedge funds suddenly find real money is back in Argentina's debt From Bloomberg.com: The real money is back in Argentina. Before the country’s default in July 2014 (its second in 13 years), most long-term investors abandoned its bond market. As they rushed out, Argentina became a favorit

  3. JTC acquires Kleinwort Benson’s fund administration business[more]

    Bailey McCann, Opalesque New York: JTC has completed the acquisition of Kleinwort Benson’s fund administration business, boosting assets under administration (AuA) to $56 billion. Kleinwort Benson is based in the Channel Islands, South Africa. The transaction, which relates to the whole of K

  4. Performance - Hedge funds set to bank millions by short selling during London share slump, The China market chaos has made this hedge fund its most money in 2 years, Odey hedge fund said to surge 9% betting against China, Hedge funds with long-held bearish views on China rack up profits, Hedge funds in U.S. seen curbing damage from August turbulence, Hedge funds collect on their predictions of a fall, How did managed futures do while the Dow was down 1000[more]

    Hedge funds set to bank millions by short selling during London share slump From TheGuardian.com: Hedge funds are set to bank tens of millions of pounds from the slump in share prices in London, having bet almost £18bn that the FTSE 100 would fall. The funds making the bets include Lansd

  5. Opalesque Exclusive: John C Head IV leaves alternative investment firm Gallery Capital, David Harrison joins as co-CIO[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: John C Head IV, former president and co-founder of Gallery Capital Management, an alternative inv

 

banner