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.
