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EDHEC has published the latest performance update of the EDHEC-Risk Alternative Indexes.
The month of November was characterized by rather strong performance of the stock markets, with the S&P 500 index registering a third consecutive month of profits (+3.63%) and reaching an ever higher level. Volatility (12.62%) is still low, down for the third consecutive month.
On the bond market, a mixed situation prevailed as regular bonds post negative return (-0.35%), while convertible bonds post positive return (+1.14%) for the second consecutive month. Concerning commodities market, the GSCI Commodity Spot index produced a third positive month (+0.41%).
The dollar is rising (1.08%), after last month's decline.
In this environment, nine strategies among thirteen post positive returns. The four strategies that were last month at their highest index level since EDHEC hedge fund indices' inception (December 1996), namely Convertible Arbitrage, Fixed Income Arbitrage, Merger Arbitrage and Relative Value, still post positive returns. This month, a fifth strategy, namely Long/Short Equity, reaches its highest index level since inception.
The positive trend on the stock market benefited the equity oriented strategies, such as Long/Short Equity (1.38%) - which is also the best performing for this month - and Event Driven (0.90%), while the Equity Market Neutral strategy, with a limited exposure to stocks, is barely positive (0.04%). Alternatively, Short Selling posts the lowest performance (-1.40%) and is still near to its lowest index level over the whole period.
Overall, the Funds of Funds strategy strengthens its performance, with a second consecutive positive return (0.71%).
