Investment - Articles - Sunny outlook for hedge funds in July


 Latest performance update of the EDHEC-Risk Alternative Indexes

 In July, all market segments were up, extending a positive trend started last month. Stocks gained 1.39% (S&P 500) with a nearly stationary implied volatility (VIX: 18.9%). Fixed-income instruments exhibited significant performance across all risk classes: worldwide and US high-grade (1.01% and 0.93% respectively), convertibles (0.95%), and the credit-spread index (0.66%). Commodities staged a comeback (6.07%) after having suffered huge losses over the last three months, while the Dollar (0.13%) was almost unchanged.

 Hedge fund strategies exposed to the equity risk factor logically benefited from the market environment, but captured less than half of its return due to rather low dynamic exposure: Equity Market Neutral (0.35%), Event Driven (0.59%) and Long/Short Equity (0.43%). The latter category, although more directional in nature, seems to have been negatively impacted by a bias towards small-caps, which underperformed by 2.16%.

 Convertible Arbitrage returned 0.90%, exhibiting some alpha in excess of its risk-drivers-induced performance. The CTA Global strategy (3.05%) showed another one of the wild swings which has characterised its track record since the beginning of the year, the largest part of it being idiosyncratic (in excess of just 1% stemming from an exposure to bonds and commodities).

 Funds of Funds, finally, with all the underlying strategies showing gains, recorded its best performance since February (0.72%).

 

Back to Index


Similar News to this Story

Targeted Support major step towards addressing support gap
Targeted Support is poised to play a pivotal role for potentially millions of non-advised individuals. Non-advised could be supported with at retireme
FCA proposals for millions to navigate their financial lives
Millions more people could get help navigating their financial lives with support on pensions and investments, under proposals announced today by the
Comments on FCA proposals on navigating financial lives
Aviva, Just Group, Standard Life, Scottish Widows and the ABI comment on FCA proposals on navigating financial lives

Site Search

Exact   Any  

Latest Actuarial Jobs

Actuarial Login

Email
Password
 Jobseeker    Client
Reminder Logon

APA Sponsors

Actuarial Jobs & News Feeds

Jobs RSS News RSS

WikiActuary

Be the first to contribute to our definitive actuarial reference forum. Built by actuaries for actuaries.