The month of December was characterized by rather strong performance of the stock markets, with the S&P 500 index registering a fourth consecutive month of profits (+3.02%) and ending the year with an annual gain of more than 30%. Volatility rises up slightly to 13.78% but remains far below its historical mean value.
The bond market also confirmed its moderate profitability as both regular bonds (0.04%) and convertible bonds (1.69%) post positive return. Concerning commodities market, the GSCI Commodity Spot index produced a strong performance (6.61%), following three other months of positive returns.
The dollar fell (-2.09%) ending the year below its end 2018 level.
In this environment, all strategies delivered positive returns for the month of December. Moreover, with the exception of four strategies (Distressed Securities, Equity Market Neutral, Fixed-Income Arbitrage and Short Selling), their annual performance was above their annual average historical performance. At the end of December, seven strategies, namely Convertible Arbitrage, Event Driven, Fixed Income Arbitrage, Long/Short Equity, Merger Arbitrage, Relative Value and Fund of Funds, were at their highest index level since EDHEC hedge fund indices' inception (December 1996),
In December, the best performing strategy was Emerging Markets (3.66%), following by Long/Short Equity (2.08%). These two strategies were also the best performing for 2019, with an annual performance of 12.83% and 11.12%, respectively. In December, the lowest return was the 0.24% reported by Short Selling, which exhibited a positive return after three months of negative figures. This strategy also posted the lowest and only negative annual performance for 2019 (-8.30%).
Overall, the Funds of Funds strategy strengthened its performance, with a third consecutive positive return (1.38%). However, it exhibited a yearly performance (7.42%) far from that of the stock market.
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