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Contrasting results for hedge fund strategies

In October, the performance of hedge fund strategies exposed exclusively to equity-related risk factors remained positive despite the market environment thanks to a strong dynamic alpha.

"In October, stocks experienced a setback (S&P 500: -1.85%), with implied volatility increasing slightly (VIX: 18.6%). High-grade bonds were nearly flat (Lehman Global: -0.17%, Lehman US: -0.06%), risky credit remained strong (credit-spread index: 1.00%) extending its winning streak to 5 months whereas the convertible bonds’ rally was interrupted by a (-0.56%) loss. Commodities fell significantly (-4.20%) while the US dollar bounced back marginally (0.60%).

The performance of hedge fund strategies exposed exclusively to equity-related risk factors remained positive despite the market environment (Equity Market Neutral: 0.34%, Long/Short Equity: 0.25%) thanks to a strong dynamic alpha. The Event Driven strategy, benefiting from additional credit exposure, posted a higher 0.53%.

The Convertible Arbitrage strategy (0.04%) was almost flat, with influences of its main exposures (credit and convertibles) mostly cancelling each other out, and a slightly negative dynamic alpha.

CTA Global (-3.22%) suffered one more huge idiosyncratic loss and remains the worst amongst the main strategies this year so far (-2.95% year-to-date). Funds of Funds, finally, which maintains low overall market exposure, only lost a marginal -0.24%."

Next Finance , November 2012

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