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EDHEC is pleased to announce the latest performance update of the EDHEC-Risk Alternative Indexes.
The month of September was characterized by a trend reversal on the markets. It comes after the strong recovery and increase in the markets observed during the last five months, which followed the very sharp drop in March. This declining trend is linked to the resurgence of the COVID-19 epidemic in many countries and to the measures taken to limit its spread, which affect the economy. The S&P 500 registered a loss (-3.80%), a limited decline compared to its recent gains. Market implied volatility remained equal to the one of last month (26.37%), a value higher than its long-term average (around 20%), but below its year-to-date average level (around 31%).
On the bond market, the situation also deteriorated, as both regular bonds (-0.32%) and convertible bonds (-2.17%) posted negative returns. Concerning commodities market, the GSCI Commodity Spot index decreased (-2.24%) after five consecutive months of positive performances.
The dollar rebounds after five consecutive months of decline.
In this environment, half of the strategies achieved positive performances. The best performing strategy was Short Selling (1.39%), followed by Merger Arbitrage (0.83%) and Fixed-Income Arbitrage (0.79%). The lowest performing strategy was CTA Global (-1.91%), followed by Emerging Markets (-1.46%) and Global Macro (-1.36%). Two equity-oriented strategies were negatively impacted by the downturn in the stock market, with a higher decrease for Long/ Short Equity (-1.09%), and a limited drop for Market Neutral (-0.20%). The third equity-oriented strategy, Event Driven, managed to keep a barely positive performance (0.02%).
Three strategies (Convertible Arbitrage, Fixed Income Arbitrage and Relative Value) are still at their highest index level since EDHEC-Risk hedge fund indices' inception (December 1996). CTA Global is the only strategy back in red after posting a positive YTD last month.
Overall, after five months of positive returns, the Funds of Funds strategy posted a negative return (-0.19%). However, all hedge-fund strategies clearly outperformed the S&P 500 Index.
