Sign up for free newsletter


Up arrow

Equity-focused EDHEC-Risk Alternative indexes saw robust returns in March

EDHEC-Risk Alternative Indexes with equity-focused strategies all exhibited robust returns in March, characterised by a wide dispersion in terms of dynamic alphas.

The long/short equity strategy (1.57 per cent) performed in line with its modelled dynamic exposure, the equity market neutral strategy (0.26 per cent) showed mildly negative alpha, whereas the event driven strategy (1.52 per cent) produced a very strong idiosyncratic return possibly indicative of market timing effects or hidden risk premia.
The convertible arbitrage strategy (0.83 per cent) extended its winning streak to ten months despite convertible bonds being the single beneficial exposure among its risk factors, and falling short of explaining the full magnitude of its performance.
The CTA global strategy (1.02 per cent) compensated for last month’s loss.
The funds of funds strategy scored a fair 0.96 per cent gain, considering its market exposure.

ETF Trader – Top U.S Bank – Greater NYC Area

Sat, 13 Feb 2016 00:00:00 GMT

Energy Trading Role – Global Trading Firm - Texas

Sat, 13 Feb 2016 00:00:00 GMT

Investment Banking Managing Director - TMT M&A

Sat, 13 Feb 2016 00:00:00 GMT

1 day 12 hours from now - Cairo
1 day 12 hours from now - Dubai
2 days 12 hours from now - New York
2 weeks 2 days from now - New York
other gfm publications