The latest performance update of the EDHEC-Risk Alternative Indexes is shown below.
The month of January was characterized by the first consequences on the markets of the spread of the coronavirus worldwide. The stock markets started to decline, with the S&P 500 index registering a slight decrease (-0.04%), after four consecutive months of profits. Volatility, which had been very low in the last quarter of 2019, rose to 18.84%, approaching its historical mean value.
The bond market confirmed its profitability as both regular bonds (1.10%) and convertible bonds (1.96%) post positive returns. Concerning commodities market, the GSCI Commodity Spot index decreased sharply (-10.87%), following three months of positive returns.
The dollar is rising (1.26%), after last month’s decline.
In this environment, eight strategies among thirteen posted positive returns. Five strategies were still at their highest index level since EDHEC hedge fund indices' inception (December 1996), namely Convertible Arbitrage, Fixed Income Arbitrage, Merger Arbitrage, Relative Value and Fund of Funds. This month, Global Macro joined this group, also reaching its highest index level since inception.
The best performing strategy was Short Selling (0.78%), which performs greatly above of its long term average performance, following by Fixed-Income Arbitrage (0.71%). The lowest return was the -0.64% reported by Long/ Short Equity, which was negatively impacted by the downturn in the stock markets. The two other equity-oriented strategies, namely Event Driven and Market Neutral, also posted negative returns (-0.30%, and -0.24%, respectively).
Overall, the Funds of Funds strategy strengthened its performance, with a fourth consecutive positive return (0.30%).
