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The EDHEC-Risk team is pleased to release the latest performance update of the EDHEC-Risk Alternative Indexes.
The month of February was characterized by a rather strong performance on the stock markets, with the S&P 500 registering a positive return (2.76%), ending the month at its highest level since the start of our study period (January 1997). Market implied volatility decreased to 27.95%, a value higher than its long-term average performance (around 21%), but lower than its average performance over the last twelve months (around 31%);
On the bond market, a mixed situation still prevailed, as regular bonds posted a negative return (-1.11%), for the second consecutive month, and convertible bonds posted a strong positive return (3.20%) for the fifth consecutive month. Concerning commodities market, the GSCI Commodity Spot index produced a strong performance (10.67%) for the fourth consecutive month, erasing its 2020 losses;
The dollar rose slightly (0.15%) for the second consecutive month;
In this environment, all strategies achieved positive performances, higher than their average performance over the last twelve months for all of them except three (Emerging Markets, Fixed-Income Arbitrage and Short Selling). In addition, all strategies except Short Selling were at their highest index level since EDHEC-Risk hedge fund indices' inception (December 1996);
The best performing strategy was Long/Short Equity (4.42%), followed by Event Driven (3.72%). Not surprisingly, these two equity-oriented strategies took advantage of the equity market strong performance, which also benefited to Market Neutral (1.39%), the third equity-oriented strategy, though to a lesser extent. The lowest performing strategy was Fixed-Income Arbitrage (0.39%), followed by Short-Selling (0.90%);
Overall, the Funds of Funds strategy posted a positive return (2.74%), practically matching the S&P 500 performance.
