EDHEC is pleased to release the latest performance update of the EDHEC-Risk Alternative Indexes.
April was characterized by a strong recovery of the markets linked to the decline in the pandemic in most countries. The S&P 500 index recovered a large part of its loss from the previous month (12.82%), its strongest increase in a month since the start of our study period (January 1997). Market implied volatility decreased sharply to 34.15% but still remains higher than the long-term average which is around 20%.
On the bond market, the situation also clearly improved, as both regular bonds (1.69%) and convertible bonds (7.26%) posted positive returns. Concerning commodities market, the GSCI Commodity Spot index stabilized after several months of decline, posting a slight positive return (0.59%).
The dollar, which had increased in the last three months, recorded a slight decline (-0.49%).
In this environment, all strategies except CTA Global posted positive returns. Some strategies achieved especially high performances in a month, such as Event Driven and Merger Arbitrage, showing their best performance since EDHEC hedge fund indices' inception (December 1996), or Long/Short Equity and Fund of Funds, reaching their best performance since March 2000. Even if the recovery was significant for most of the strategies, it does not compensate yet the losses experienced since the beginning of the year and the year to date returns remain negative for all strategies.
The best performing strategies were Emerging Markets and Long / Short Equity (5.63% for them both), closely followed by Event Driven (5.43%). Unsurprisingly equity strategies are benefiting from the recovery in the markets, though to a lesser extend in what concerns Equity Market Neutral (1.24%).The worst performing strategy is CTA Global (-0.28%).
Overall, the Funds of Funds strategy posted a strong positive return (3.40%) in line with the market recovery.
