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EDHEC-Risk Alternative Indexes
Hedge Fund Strategies December 2009 YTD Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 2.15% 46.81% 6.47% 7.83% 0.31
CTA Global -2.53% -1.92% 7.36% 8.78% 0.38
Distressed Securities 3.24% 30.38% 11.04% 6.18% 1.14
Emerging Markets 2.29% 37.87% 12.54% 10.80% 0.79
Equity Market Neutral 0.72% 5.07% 4.70% 3.06% 0.23
Event Driven 2.35% 25.72% 8.44% 6.01% 0.74
Fixed Income Arbitrage 1.41% 24.51% 5.75% 4.76% 0.37
Global Macro -0.28% 10.36% 7.68% 4.47% 0.82
Long/Short Equity 1.86% 20.02% 5.66% 7.12% 0.23
Merger Arbitrage 1.02% 9.99% 5.56% 3.40% 0.46
Relative Value 1.61% 21.18% 6.59% 4.91% 0.53
Short Selling -3.73% -20.53% 2.28% 13.94% -0.12
Funds of Funds 0.66% 10.69% 4.38% 5.16% 0.07


Returns on competing hedge fund indices are used to calculate the returns on the EDHEC Alternative Indices.
They are dollar denominated and net of fees.

 

EDHEC Indexes
 
 
EDHEC-Risk Alternative Indexes: December 2009
Conv. Arb. 2.15%
CTA Global -2.53%
Dist. Sec. 3.24%
Emg. Mkts 2.29%
Eq. Mkt Neut. 0.72%
Event Driven 2.35%
Fix. Inc. Arb. 1.41%
Global Macro -0.28%
L/S Equity 1.86%
Merger Arb. 1.02%
Rel. Value 1.61%
Short Selling -3.73%
FoF 0.66%



EDHEC Publications
The Divergence of Legal Procedures
How to Time the Commodity Market
Approximating Independent Loss Distributions with an Adjusted Binomial Distribution
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