Hedge fund strategies see mixed results in October |
Date: Wednesday, November 21, 2012
Author: Hedgeweek.com
The performance of hedge fund
strategies exposed exclusively to equity-related risk factors remained
positive despite October’s challenging market environment thanks to a
strong dynamic alpha, according to the Edhec-Risk Alternative Indexes.
Equity market neutral rose by 0.34 per cent and long/short equity by0.25 per cent. The event driven strategy, benefiting from additional credit exposure, posted a higher 0.53 per cent. The convertible arbitrage strategy (0.04 per cent) 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 per cent) suffered one more huge idiosyncratic loss
and remains the worst amongst the main strategies this year so far
(-2.95 per cent year-to-date). Funds of funds, which maintain low overall market exposure, only lost a marginal 0.24 per cent.
Reproduction in whole or in part without permission is prohibited.
