
Hedge funds are private, unregulated investment funds that use sophisticated instruments or strategies, such as derivative securities, short positions or leveraging, to generate alpha. Hedge funds cover a wide range of strategies with different risk and return profiles.
Investors need benchmarks to evaluate the performance of hedge fund strategies. Due to the scarcity of information, the logic of representativeness through market capitalization is difficult to apply to the alternative universe. As a result, finding a benchmark that is representative of a particular management universe is not a trivial problem. Many hedge fund indices are constructed from different data, based on diverse selection criteria and methods of construction, and they only give a partial view of each investment style. Thus, it makes sense to use some combination of the hedge fund indices available on the market to obtain more exhaustive information about a given style, as well as achieve more stability over time.
Since 2003, EDHEC-Risk Institute has been publishing the EDHEC-Risk Alternative Indices, which aggregate and synthesise information from different index providers, so as to provide investors with representative benchmarks. These indices are computed for thirteen investment styles that represent typical hedge fund strategies.
Click on a Hedge Fund Strategy to find more information
Hedge Fund Strategies | November 2020 | YTD | Annual Average Return since January 2001 | Annual Std Dev since January 2001 | Sharpe Ratio |
---|---|---|---|---|---|
Convertible Arbitrage |
2.92%
|
10.65%
|
5.90%
|
6.09%
|
0.31
|
CTA Global |
1.25%
|
-0.48%
|
4.05%
|
7.75%
|
0.01
|
Distressed Securities |
4.26%
|
2.17%
|
7.74%
|
6.17%
|
0.61
|
Emerging Markets |
5.68%
|
8.68%
|
8.14%
|
9.72%
|
0.43
|
Equity Market Neutral |
0.33%
|
1.03%
|
3.56%
|
2.70%
|
-0.16
|
Event Driven |
6.66%
|
6.15%
|
6.71%
|
6.46%
|
0.42
|
Fixed Income Arbitrage |
0.77%
|
6.68%
|
5.32%
|
3.68%
|
0.36
|
Global Macro |
2.15%
|
4.57%
|
5.14%
|
4.09%
|
0.28
|
Long/Short Equity |
6.18%
|
9.28%
|
5.69%
|
6.88%
|
0.25
|
Merger Arbitrage |
4.72%
|
4.97%
|
4.85%
|
3.60%
|
0.24
|
Relative Value |
2.14%
|
2.92%
|
5.76%
|
4.22%
|
0.42
|
Short Selling |
NaN
|
NaN
|
NaN
|
NaN
|
NaN
|
Funds of Funds |
3.84%
|
7.18%
|
3.62%
|
4.84%
|
-0.08
|
* Cumulative return since January 1st of the current year
** Some data from Short Selling funds have not been released yet by index providers.
HIGHLIGHTS NOVEMBER 2020