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EDHEC-Risk Alternative Indexes
Hedge Fund Strategies June 2010 YTD Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage 0.17% 2.85% 6.44% 7.72% 0.32
CTA Global 0.11% -0.61% 6.90% 8.70% 0.33
Distressed Securities -1.05% 4.46% 10.96% 6.24% 1.12
Emerging Markets -0.39% -0.82% 11.78% 10.76% 0.72
Equity Market Neutral -0.45% 0.76% 4.53% 3.01% 0.18
Event Driven -1.06% 2.20% 8.23% 6.01% 0.70
Fixed Income Arbitrage 0.78% 4.25% 5.90% 4.69% 0.41
Global Macro -0.23% 0.55% 7.32% 4.44% 0.75
Long/Short Equity -1.61% -1.68% 5.19% 7.16% 0.17
Merger Arbitrage 0.23% 1.60% 5.44% 3.36% 0.43
Relative Value -0.34% 1.96% 6.46% 4.87% 0.50
Short Selling 4.19% -0.36% 2.16% 13.88% -0.13
Funds of Funds -0.79% -1.24% 4.02% 5.16% 0.00


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: July 2010 (Estimates)
Conv. Arb. 2.32%
CTA Global -0.48%
Dist. Sec. 1.51%
Emg. Mkts 3.04%
Eq. Mkt Neut. 1.04%
Event Driven 1.83%
Fix. Inc. Arb. 1.08%
Global Macro 0.50%
L/S Equity 2.13%
Merger Arb. 1.22%
Rel. Value 1.84%
Short Selling -4.31%
FoF 0.77%



EDHEC Publications
Capturing the Risk Premium of Commodity Futures
Banking on Liquidity: Liquidity, Collateral and Derivatives
EDHEC-Risk Survey of the Asset and Liability Management Practices of European Pension Funds
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Featured Events
EDHEC-Risk Institutional Days 2010
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EDHEC Partners
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