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The month of March was characterized by a strong performance on the stock markets, with the S&P 500 registering a second consecutive month of profits (4.38%). Market implied volatility decreased to 19.40%, its lowest value since the beginning of 2020, but also a value lower than its long-term average performance (around 21%);
On the bond market, the situation deteriorated, as both regular bonds (-1.00%) and convertible bonds (-2.58%) posted negative returns. Concerning regular bond, this is the third consecutive month of decrease, while for convertible bonds, this decrease occurs after five months of strong increases. Concerning commodities market, the GSCI Commodity Spot index decreased (-2.01%) after four consecutive months of strong positive performances;
The dollar rose strongly (1.79%), following two months of moderate increases;
In this environment, most of the strategies delivered positive returns. The three exceptions were Convertible Arbitrage, Emerging Markets and Merger Arbitrage. These three strategies, as well as Short Selling, were also those which were not at their highest index level since EDHEC-Risk hedge fund indices' inception (December 1996);
The best performing strategy was Distressed Securities (1.63%), closely followed by Event Driven (1.60%). If the three equity-oriented strategies, including Event Driven, Market Neutral (1.02%) and Long / Short Equity (0.75%) did quite well compared to the other strategies, their performances appeared to be a bit disappointing compared to that of the equity markets. The lowest performing strategy was Merger Arbitrage (-1.35%), followed by Emerging Markets (-0.81%);
Overall, the Funds of Funds strategy posted a very weakly positive return (0.04%), far behind the S&P 500 performance.
