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The month of April was characterized by a strong performance on the stock markets, with the S&P 500 registering a third consecutive month of profits (5.34%). Market implied volatility decreased to 18.61%, its lowest value since the beginning of 2020, but also a value lower than its long-term average performance (around 21%);
The bond market recovered, with both regular bonds (0.31%) and convertible bonds (2.37%) posted positive returns, after three months of losses for the former and one month of loss for the latter. Concerning commodities market, the GSCI Commodity Spot index registered a strong positive return (8.22%) after a negative return last month, reaching its highest level in over six years;
The dollar fell strongly (-1.98%), following two months of moderate increases;
In this environment, all strategies except Convertible Arbitrage delivered positive returns. To the exception of Convertible Arbitrage, Fixed-Income Arbitrage (0.92%) and Relative Value (1.09%) these returns were higher than their average over the last twelve months. The lowest performing strategy was Convertible Arbitrage, with a very slightly negative return (-0.01%). This strategy was also the only one which was not at its highest index level since EDHEC-Risk hedge fund indices' inception (December 1996);
The best performing strategy was Event Driven (2.76%), tightly followed by Emerging Markets (2.57%), CTA Global (2.50%) and Long/Short Equity (2.49%). Not surprisingly, two equity-oriented strategies were among the best performing strategies, as they took advantage of the equity market strong performance, which also benefited to Market Neutral (1.47%), the third equity-oriented strategy, though to a lesser extent;
Overall, the Funds of Funds strategy posted a strong positive return (1.89%), but far behind the S&P 500 performance.
