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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.

The programme has included in the past the “Advanced Modelling for Alternative Investments” research chair, in partnership with Société Générale Prime Services (Newedge).


Gamma Trading Skills in Hedge Funds

2018

Boris Fays, Georges Hübner, Marie Lambert


Hedge Fund Styles And Macroeconomic Uncertainty

2016

Marie Lambert, Federico Platania


A Primer on the Tax Framework of Offshore and Onshore Hedge Funds

2016

Michel Brocard, François-Serge Lhabitant


Market Efficiency And Hedge Fund Trading Strategies

2016

Marie Lambert, Nicolas Papageorgiou, Federico Platania


Momentum Strategies in Futures Markets and Trend-Following Funds

2013

Akindynos-Nikolaos Balta, Robert Kosowski


Implicit Options in Hedge Fund Products

2013

Joseph Eagleeye, Hilary Till


New 'Stylised facts' about Hedge Funds and Database Selection Bias

2012

Juha Joenväärä, Robert Kosowski, Pekka Tolonen


Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?

2011

Stephen J. Brown, Greg N. Gregoriou, Razvan Pascalau


Media and Investment Management

2010

Gideon Ozik, Ronnie Sadka


Are Hedge-Fund UCITS the Cure-All?

2010

Noël Amenc, Samuel Sender


Performance of Passive Hedge Fund Replication Strategies

2009

Noël Amenc, Lionel Martellini, Jean-Christophe Meyfredi, Volker Ziemann


The Survival of Exchange-Listed Hedge Funds

2009

Greg N. Gregoriou, François-Serge Lhabitant, Fabrice Douglas Rouah


Hedge Fund Performance in 2008

2009

Véronique Le Sourd


Unbundling common style exposures, time variance and style timing of hedge fund beta

2009

Rodrigo Dupleich, Daniel Giamouridis, Spyros Mesomeris, Nima Noorizadeh


Amaranth Lessons Thus Far

2008

Hilary Till


The Pros and Cons of Passive Hedge Fund Replication

2008

Noël Amenc, David Schröder


EDHEC Hedge Fund Reporting Survey 2008

2008

Felix Goltz, David Schröder


Hedge Fund Performance in 2007

2008

Véronique Le Sourd


Overlay Hedging in a Fund of Funds

2008

David E. Kuenzi, Remy Chaudhuri, Zhihui Dong


Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns

2007

Antonio Diez de los Rios, René Garcia


The Myths and Limits of Passive Hedge Fund Replication: An Attractive Concept… Still a Work-in-Progress

2007

Noël Amenc, Walter Géhin, Lionel Martellini, Jean-Christophe Meyfredi


Quantification of Hedge Fund Default Risk

2007

Corentin Christory, Stephane Daul, Jean-Rene Giraud


Determinants of Funds of Hedge Funds' Performance

2006

Noël Amenc and Mathieu Vaissié.


EDHEC European Alternative Diversification Practices Survey

2006

Noël Amenc, Walter Géhin, Jean-René Giraud, Lionel Martellini, Mathieu Vaissié


Investing in Hedge Funds: Adding Value through Active Style Allocation Decisions

2005

Lionel Martellini, Mathieu Vaissié, Volker Ziemann


Edhec Funds of Hedge Funds Reporting Survey

2005

Noël Amenc, Philippe Malaise, Mathieu Vaissié


Survey of Recent Hedge Fund Articles

2005

Hilary Till, Jodie Gunzberg


Hedge Funds from the Institutional Investor’s Perspective

2005

Noël Amenc, Lionel Martellini, Felix Goltz


La Gestion Alternative

2004

Noël Amenc, Sébastien Bonnet, Gautier Henry, Lionel Martellini, Axel Weytens


Finding the Sweet Spot of Hedge Fund Diversification

2004

François-Serge Lhabitant, Michelle Learned De Piante Vicin


Edhec European Alternative Multimanagement Practices Survey

2003

Noël Amenc, Anne Delaunay, Jean-René Giraud, Felix Goltz, Lionel Martellini, Mathieu Vaissié


Challenges Arising from Alternative Investment Management

2003

Noël Amenc, François Haas, Mathieu Vaissié


How to Price Hedge Funds: From Two- to Four-Moment CAPM

2003

Angelo Ranaldo, Laurent Favre


The Alpha and Omega of Hedge Fund Performance Measurement

2003

Noël Amenc, Lionel Martellini


Optimal Allocation to Hedge Funds: An Empirical Analysis

2003

Jaksa Cvitanic, Ali Lazrak, Lionel Martellini and Fernando Zapatero


EDHEC Alternative Indexes

2003

EDHEC-Risk


Indexing Hedge Fund Indexes

2003

Noël Amenc, Lionel Martellini, Mathieu Vaissié


An Analysis of Hedge Fund Performance 1984-2000

2003

Daniel Capocci, Georges Hübner


The Brave New World of Hedge Fund Indices

2002

Noël Amenc, Lionel Martellini


Mean-Modified Value-at-Risk Optimization with Hedge Funds

2002

Laurent Favre, José-Antonio Galeano


Trend-following Hedge Funds and Multi-period Asset Allocation

2002

Dries Darius, Aytac Ilhan, John Mulvey, Koray D. Simsek, Ronnie Sircar


Benefits and Risks of Alternative Investment Strategies

2002

Noël Amenc, Lionel Martellini, Mathieu Vaissié


An Analysis of Hedge Fund Performance Using Loess Fit Regression

2002

Laurent Favre, José-Antonio Galeano


Measure for Measure

2001

Hilary Till


Life at Sharpe's End

2001

Hilary Till

We inform you that after 20 years of existence, EDHEC-RISK hedge fund indices’ publication will be discontinued in August. The last update will take place on August 4th for June 2021 values. Our research center is evolving and will focus now on two fundamental topics: retirement investing and sustainable investing.

 

Click on a Hedge Fund Strategy to find more information

Hedge Fund Strategies May 2021 YTD Annual Average Return since January 2001 Annual Std Dev since January 2001 Sharpe Ratio
Convertible Arbitrage
0.56%
4.48%
6.09%
6.06%
0.35
CTA Global
1.64%
7.58%
4.55%
7.76%
0.07
Distressed Securities
1.68%
11.51%
8.28%
6.18%
0.69
Emerging Markets
2.09%
7.71%
8.57%
9.67%
0.47
Equity Market Neutral
0.35%
4.32%
3.77%
2.71%
-0.09
Event Driven
1.25%
11.49%
7.35%
6.51%
0.51
Fixed Income Arbitrage
0.30%
3.65%
5.44%
3.65%
0.40
Global Macro
1.88%
6.91%
5.55%
4.15%
0.37
Long/Short Equity
0.85%
8.64%
6.22%
6.92%
0.32
Merger Arbitrage
0.58%
7.09%
5.33%
3.80%
0.35
Relative Value
0.67%
5.02%
5.96%
4.19%
0.47
Short Selling
NaN
NaN
NaN
NaN
NaN
Funds of Funds
0.22%
3.95%
3.88%
4.88%
-0.02

* Cumulative return since January 1st of the current year

** Some data from Short Selling funds have not been released yet by index providers.

 

HIGHLIGHTS MAY 2021

  • The month of May was characterized by a positive trend on the stock markets, with the S&P 500 registering a fourth consecutive month of profits. However, this increase was moderate (0.70%) compared to the 13% cumulative increase over the previous three months. Market implied volatility decreased to 16.76%, returning to the levels observed in 2019, before the coronavirus crisis, and also a value much lower than its long-term average performance (around 21%);
  • On the bond market, a mixed situation prevailed as regular bonds posted positive return (0.30%), while convertible bonds posted negative return (-0.59%). Concerning commodities market, the GSCI Commodity Spot index registered a positive return (2.64%) for the second consecutive month, reaching its highest level in over six years;
  • The dollar fell (-1.29%), for the second consecutive month, at its lowest level in over three years;
  • In this environment, all strategies delivered positive returns and all of them were at their highest index level since EDHEC-Risk hedge fund indices' inception (December 1996). However, to the exception of CTA Global (1.64%) and Global Macro (1.88%), these returns were lower than their average over the last twelve months. The lowest performing strategy was Fixed-Income Arbitrage (0.30%), followed by Equity Market Neutral (0.35%);
  • The best performing strategy was Emerging Markets (2.09%), followed by Global Macro (1.88%). The performance of equity-oriented strategies was rather mixed. If Event Driven comes out of the game with a return of 1.25%, the performance of Long/Short Equity (0.85%) and Market Neutral (0.35%) was in line with the moderate performance of equity markets;
  • Overall, the Funds of Funds strategy posted a positive, but weak return (0.22%), far behind the S&P 500 performance.