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EDHEC-Risk Alternative Indexes: A Positive Month For Hedge Fund Performances: The Losses Of Recent Months Are Gradually Fading

Date 11/08/2020

 Click here to download the latest performance update of the EDHEC-Risk Alternative Indexes.

The month of June was characterized by a still rising stock market, with the S&P 500 continuing to recover and registering a profit of 1.99%. Market implied volatility slightly increased to 30.43%, after two months of decrease. With an average level of 30% in the second quarter, volatility is still higher than its long-term average which is around 20%. 

On the bond market, the situation also clearly continued to improve, as both regular bonds (0.24%) and convertible bonds (3.68%) posted positive returns for the third consecutive month. Concerning commodities market, the GSCI Commodity Spot index posted a positive return (5.99%) for the third consecutive month. 

The dollar recorded a third consecutive decline (-1.09%).

In this environment, eleven strategies among thirteen delivered positive returns. The two exceptions are CTA Global and Short Selling. The best performing strategy was Emerging Markets (5.24%), followed by Distressed Securities (4.05%). The worst performing strategy was CTA Global (-0.80%), followed by Short Selling (-0.25%). The positive trend on the stock market benefited the equity-oriented strategies such as Long/Short Equity (1.75%) and Event Driven (2.31%).

Even if the recovery was significant for most of the strategies since two months, it did not compensate yet the losses experienced since the beginning of the year. The year-to-date returns remained negative, except for three strategies, namely Convertible Arbitrage, Fixed-Income Arbitrage and Global Macro. Fixed Income Arbitrage Index is at its highest index level since EDHEC hedge fund indices' inception (December 1996), and Convertible Arbitrage and Global Macro approach this level.

Overall, the Funds of Funds strategy posted a strong positive return (1.82%), still in line with the market recovery.