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The EDHEC-Risk team is pleased to present the latest performance update of the EDHEC-Risk Alternative Indexes.
The month of June was characterized by a positive trend on the stock markets, with the S&P 500 registering a rather strong performance (2.33%), its fifth consecutive month of profits, leading to 15% cumulative increase since the beginning of the year. Market implied volatility decreased, for the fourth consecutive month, to 15.83%, returning to the levels observed in 2019, before the coronavirus crisis. This value is also much lower than its long-term average performance (around 21%);
On the bond market, a mixed situation prevailed as regular bonds posted negative return (-0.30%), while convertible bonds posted positive return (1.60%), the reverse of the situation observed last month. Concerning commodities market, the GSCI Commodity Spot index registered a positive return (3.23%) for the third consecutive month, reaching its highest level in over more than six years;
The dollar rose quite strongly (2.59%), after two months of decrease;
In this environment, most of the strategies delivered positive returns. The three exceptions were CTA Global (-0.56%), Fixed-Income Arbitrage (-0.31%) and Global Macro (-1.16%), which was the lowest performing strategy. 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). This month, all strategies delivered lower returns than their average over the last twelve months;
The best performing strategy was Short Selling (3.41%), far ahead of Distressed Securities (1.03%) and Emerging Markets (0.96%). The performance of the three equity-oriented strategies was quite low – Long/Short Equity (0.18%), Event Driven (0.25%) and Market Neutral (0.27%) – compared to the S&P 500 performance;
Overall, the Funds of Funds strategy posted a positive, but weak return (0.35%), far behind the S&P 500 performance.
