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EDHEC-Risk has released the latest performance update of the EDHEC-Risk Alternative Indexes.
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* Cumulative return since January 1st of the current year |
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** Some data from Short Selling funds have not been released yet by index providers. |
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The month of December was characterized by a rather strong performance on the stock markets, with the S&P 500 registering a second consecutive month of profits (3.84%) and ending the year with an annual gain of 18%. Market implied volatility increased a bit to 22.75%, a value higher than its long-term average (around 21%), but below its average for the year (around 31%).
The bond market also confirmed its profitability, moderate for regular bonds (0.02%) and quite strong for convertible bonds (5.81%). Concerning commodities market, the GSCI Commodity Spot index produced a strong performance (6.19%) for the second consecutive month.
The dollar fell (-2.11%) for the second consecutive month, ending the year below its end 2019 level.
In this environment, all strategies delivered positive returns for the month of December. Moreover, with the exception of four strategies (CTA Global, Distressed Securities, Equity Market Neutral and Relative Value), their annual performance was above their annual average historical performance. CTA Global YTD returned positive for the first time of the year, such that all strategies ended the year with a positive YTD from 2.6% for Equity Market Neutral to 13.6% for Emerging Markets.
In December, the best performing strategy was Emerging Markets (4.54%), followed very closely by CTA Global (4.52%), Event Driven (4.51%) and Long/Short Equity (4.44%). Not surprisingly, the two latter, which are equity-oriented strategies, took advantage of the good performance of the equity markets. The lowest performing strategy was Fixed-Income Arbitrage (1.38%), followed by Equity Market Neutral (1.50%). Three additional strategies (Distressed Securities, Market Neutral and Global Macro) joined the group of strategies which are at their highest index level since EDHEC-Risk hedge fund indices' inception (December 1996), leaving only CTA Global outside this group.
Overall, the Funds of Funds strategy posted a strong positive return (3.13%), in line with the market performance. It also exhibited a strong yearly performance (10.5%).
