News

	https://www.next-finance.net/en
	News

Sunny outlook for hedge funds in July

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%)…

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%).

Next Finance , August 2012

Add a new comment

Alternative

Hedge funds

Absolute Returns

Viadeo

Add a new comment

Focus

News Institutional investor appetite is back for quant funds

The recent CTA performances encourage institutional investors to more closely monitor this type of hedge fund. Thus, according to Preqin, 52% of them wish to increase their exposure to this type of alternative strategy this year (vs 14% last (...)