Hfri ed credit arbitrage index

17 Jan 2018 For example, in the classic merger arbitrage strategy, after a merger between two Merger arbitrage strategies are the HFRI ED Merger Arbitrage Index, fixed and that typically involve minimal exposure to corporate credits. HFRI ED: Credit Arbitrage Index Credit Arbitrage strategies employ an investment process designed to isolate attractive opportunities in corporate fixed income securities; these include both senior and subordinated claims as well as bank debt and other outstanding obligations, structuring positions with little of no broad credit market exposure. HFRI 500 ED: Credit Arbitrage Index Credit Arbitrage strategies employ an investment process designed to isolate attractive opportunities in corporate fixed income securities; these include both senior and subordinated claims as well as bank debt and other outstanding obligations, structuring positions with little of no broad credit market

Analysis period runs from 12/31/1994 to 10/31/2018. Merger arb returns are represented by an average of the returns to the HFRI ED Merger Arbitrage Index and the Credit Suisse Event-Driven, Risk Arbitrage Index. The risk-free rate is represented by the U.S. Treasury 91-Day Bill Yield. Larger ED funds outperformed smaller ED funds over the quarter, as the HFRI Event-Driven Index (Asset Weighted) Index advanced +0.74 per cent in Q1 2018. Credit Arbitrage funds led ED sub-strategy performance for Q1 2018, with the HFRI ED: Credit Arbitrage Index gaining 1.9 per cent in the quarter. Arbitrage Index, US Bond by Barclays Aggregate Bond Index, Convertible Arbitrage by the Credit Suisse Convertible Arbitrage Index, Market Neutral by HRFI-EH Equity Market Neutral Index, Managed Futures by Credit Suisse Managed Futures Index. It is not possible to invest directly in an index. Gains in European M&A and E Situations offset weakness in Distressed for the month, with the HFRI ED: Merger Arbitrage Index posting a gain of +0.26%, while the HFRI:ED Distressed/Restructuring Index posted a decline of -0.22%. For the quarter, Event Driven posted a gain of +3.64%, the top area of strategy performa. The MSCI international indexes are total return with net dividends reinvested, indicating that the dividends have been reinvested after the deduction of withholding taxes at a rate applicable to a non-resident institutional investor who does not benefit from double taxation treaties. Top of Page.

HFRI ED: Credit Arbitrage Index Credit Arbitrage strategies employ an investment process designed to isolate attractive opportunities in corporate fixed income securities; these include both senior and subordinated claims as well as bank debt and other outstanding obligations, structuring positions with little of no broad credit market exposure.

Event-Driven (ED) and fixed income-based Relative Value Arbitrage (RVA) strategies also advanced for the month, as M&A activity remained vibrant while high yield credit gained. The HFRI Event-Driven (Total) Index gained 0.9%, while the HFRI Relative Value (Total) Index added 0.4% in November. The HFRI Equity Hedge (Total) Index climbed +0.64 percent for the month, bringing the 1Q gain to +3.62 percent, leading all main strategy performance for 2017. EH sub-strategy returns were led by the HFRI EH: Technology Index, which was up +2.7 percent for the month and extends its 2017 gain to +5.60 percent. The HFRI Fund Weighted Composite Index ® (FWC) Index fell -1.5 percent for the month, topping US equities by 480 basis points (bps), as losses across equity-sensitive strategies were only partially offset by mixed performance across fixed income-based Relative Value Arbitrage (RVA) exposures. The HFRI ED: Merger Arbitrage Index focuses on opportunities in equity and equity related instruments of companies which are currently engaged in a corporate transaction. Analysis period runs from 12/31/1994 to 10/31/2018. Merger arb returns are represented by an average of the returns to the HFRI ED Merger Arbitrage Index and the Credit Suisse Event-Driven, Risk Arbitrage Index. The risk-free rate is represented by the U.S. Treasury 91-Day Bill Yield. Larger ED funds outperformed smaller ED funds over the quarter, as the HFRI Event-Driven Index (Asset Weighted) Index advanced +0.74 per cent in Q1 2018. Credit Arbitrage funds led ED sub-strategy performance for Q1 2018, with the HFRI ED: Credit Arbitrage Index gaining 1.9 per cent in the quarter. Arbitrage Index, US Bond by Barclays Aggregate Bond Index, Convertible Arbitrage by the Credit Suisse Convertible Arbitrage Index, Market Neutral by HRFI-EH Equity Market Neutral Index, Managed Futures by Credit Suisse Managed Futures Index. It is not possible to invest directly in an index.

Terms of Use - HFR Indices and Index Data. By clicking on the "I ACCEPT" button below and/or by your continued access and use of this website, User ("You") 

All content on FT.com is for your general information and use only and is not intended to address your particular requirements. In particular, the content does not constitute any form of advice, recommendation, representation, endorsement or arrangement by FT and is not intended to be relied upon by users in making (or refraining from making) any specific investment or other decisions. Event-Driven (ED) and fixed income-based Relative Value Arbitrage (RVA) strategies also advanced for the month, as M&A activity remained vibrant while high yield credit gained. The HFRI Event-Driven (Total) Index gained 0.9%, while the HFRI Relative Value (Total) Index added 0.4% in November. The HFRI Equity Hedge (Total) Index climbed +0.64 percent for the month, bringing the 1Q gain to +3.62 percent, leading all main strategy performance for 2017. EH sub-strategy returns were led by the HFRI EH: Technology Index, which was up +2.7 percent for the month and extends its 2017 gain to +5.60 percent. The HFRI Fund Weighted Composite Index ® (FWC) Index fell -1.5 percent for the month, topping US equities by 480 basis points (bps), as losses across equity-sensitive strategies were only partially offset by mixed performance across fixed income-based Relative Value Arbitrage (RVA) exposures. The HFRI ED: Merger Arbitrage Index focuses on opportunities in equity and equity related instruments of companies which are currently engaged in a corporate transaction.

The HFRI Event-Driven (Total) Index gained +0.35 per cent in September, with contributions from Activist and Credit Arbitrage sub-strategies, with the HFRI ED: Activist Index advancing +1.0 percent, while the HFRI ED: Credit Arbitrage Index gained +0.7 percent.

27 Mar 2018 HFRI Fund Weighted Composite Index respectively (i.e. 60/40 is 60% MSCI World, Long/Short Credit. Fixed Income. Arbitrage. Emerging Market. Debt ed). Emerging. Int'l. Equities. Emerging. Int'l. Small. Cap. Equities. 30 Jun 2017 HFRI Credit Index. 1.0%. 10.0%. 3.1%. 5.8%. HFRI ED: Credit Arbitrage. 1.0%. 11.7%. 3.1%. 5.3%. HFRI ED: Distressed/Restructuring. 0.9%. 17 Jan 2018 For example, in the classic merger arbitrage strategy, after a merger between two Merger arbitrage strategies are the HFRI ED Merger Arbitrage Index, fixed and that typically involve minimal exposure to corporate credits. HFRI ED: Credit Arbitrage Index Credit Arbitrage strategies employ an investment process designed to isolate attractive opportunities in corporate fixed income securities; these include both senior and subordinated claims as well as bank debt and other outstanding obligations, structuring positions with little of no broad credit market exposure. HFRI 500 ED: Credit Arbitrage Index Credit Arbitrage strategies employ an investment process designed to isolate attractive opportunities in corporate fixed income securities; these include both senior and subordinated claims as well as bank debt and other outstanding obligations, structuring positions with little of no broad credit market HFRX Fixed Income - Credit Index includes strategies with exposure to credit across a broad continuum of credit sub-strategies, including Corporate, Sovereign, Distressed, Convertible, Asset Backed, Capital Structure Arbitrage, Multi-Strategy and other Relative Value and Event Driven sub-strategies.

The HFRI Fund Weighted Composite Index ® (FWC) Index fell -1.5 percent for the month, topping US equities by 480 basis points (bps), as losses across equity-sensitive strategies were only partially offset by mixed performance across fixed income-based Relative Value Arbitrage (RVA) exposures.

10 Feb 2020 The credit-sensitive HFRI Event-Driven (Total) Index posted a narrow and HFRI ED: Credit Arbitrage indices were offset by declines in ED:  8 Jan 2020 ED sub-strategy performance was led by the HFRI ED: Activist Index which Arbitrage in 2019, with the HFRI RV: Convertible Arbitrage Index  EXHIBIT 2: HFRI INDEX RETURNS PLOTTED ALONGSIDE ALTERNATIVE BETA PORTFOLIOS ed to equity investors' disposition to sell assets that have reconstitution arbitrage and equity market exposure explain the of the legal, regulatory, tax, credit and accounting implications and determine, together with their. monthly hedge fund index figures is often compared 2 The HFRI FWC is Hedge Fund Research's industry-wide index and encompasses over Credit Arbitrage 0.52 Credit. 12.10%. HFRI. Emerging. Markets. 39.36%. HFRI ED: Distressed. ETFs Tracking Other Hedge Fund. ETFdb staff has allocated each ETF in the ETF database, as well as each index, to a single 'best-fit' ETFdb.com Category. Merger arb returns are represented by an average of the returns to the HFRI ED. Merger Arbitrage Index and the Credit Suisse Event-Driven, Risk Arbitrage 

27 Oct 2011 exposure to fixed income, convertible securities and credit markets, have posted monthly performance HFRI ED: Merger Arbitrage Index. 0.63. 5 Apr 2017 three hedge fund indices namely: ED: Merger Arbitrage Index, HFRI Relative Value (Total) Index. and RV: Fixed Income-Asset Backed Index,  e.g. Convertible and Fixed Income Arbitrage, Event Driven, Long/Short Equity, etc . More factors to CREDIT. 7.35. 73.91. 3.51. 87.46. 67.30. 85.11. +. GSCI. 7.46. 75.07. 3.55. 87.42. 68.74 HFRI ED: Private Issue/Registered Daily. 34.11. 6.73 Table: Results of replicating the HFRI Relative Value index sk. ˆµ1Y. ˆσ1Y. 12 Jun 2019 broader consortium of non-Fed banks, credit unions, private family offices Merger Arbitrage: HFRI ED: Merger Arbitrage Index. Strategies  20 Feb 2019 HFRI ED: Credit Arbitrage Index – Credit Arbitrage strategies employ an investment process designed to isolate attractive opportunities in.