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The month of May was characterized by a positive trend on the stock markets, with the S&P 500 registering a fourth consecutive month of profits. However, this increase was moderate (0.70%) compared to the 13% cumulative increase over the previous three months. Market implied volatility decreased to 16.76%, returning to the levels observed in 2019, before the coronavirus crisis, and also a value much lower than its long-term average performance (around 21%);
On the bond market, a mixed situation prevailed as regular bonds posted positive return (0.30%), while convertible bonds posted negative return (-0.59%). Concerning commodities market, the GSCI Commodity Spot index registered a positive return (2.64%) for the second consecutive month, reaching its highest level in over six years;
The dollar fell (-1.29%), for the second consecutive month, at its lowest level in over three years;
In this environment, all strategies delivered positive returns and all of them were at their highest index level since EDHEC-Risk hedge fund indices' inception (December 1996). However, to the exception of CTA Global (1.64%) and Global Macro (1.88%), these returns were lower than their average over the last twelve months. The lowest performing strategy was Fixed-Income Arbitrage (0.30%), followed by Equity Market Neutral (0.35%);
The best performing strategy was Emerging Markets (2.09%), followed by Global Macro (1.88%). The performance of equity-oriented strategies was rather mixed. If Event Driven comes out of the game with a return of 1.25%, the performance of Long/Short Equity (0.85%) and Market Neutral (0.35%) was in line with the moderate performance of equity markets;
Overall, the Funds of Funds strategy posted a positive, but weak return (0.22%), far behind the S&P 500 performance.
