Stock markets register double-digit negative performance for February

Stock markets remained severely depressed and registered double-digit negative performance (-10.65 per cent) in a context of very high volatility (46.35 per cent) in February, according to the EDHEC Risk and Asset Management Research Centre.

After last October’s record, the S&P index gave its second worst performance since September 2002 and has now reached its level of October 2002.

Similarly, the bond market registered another month of negative returns as reflected by the LGB index (-0.53 per cent). On the other hand, after seven consecutive months of significant losses, the commodities market stabilised (+0.01 per cent).

After its record performance in January (+5.61 per cent), the convertible arbitrage strategy registered a third consecutive month of positive returns (+1.76 per cent), in line with a depressed stock market and an increasing credit spread.

With a long-term correlation to the commodities and bond markets, the CTA global strategy registered a second month of negative but limited return (-0.21 per cent).

This month’s slightly increasing credit spread did not prevent the distressed securities strategy from recording a loss (-1.22 per cent) after January’s positive performance. The emerging markets strategy remained in negative territory with a ninth consecutive month of loss (-1.25 per cent).

The performances of the equity-oriented strategies are affected by the turmoil on the stock markets, although with a relatively limited impact, says EDHEC.

The equity market neutral (-0.56 per cent), event driven (-0.95 per cent) and long/short equity (-1.56 per cent) strategies clearly outperformed the S&P index (-10.65 per cent). Similarly, the fund of funds strategy did not confirm its positive return of January and recorded another loss.

The short selling strategy is strongly on the rise as it recorded a second month of significant profit (+3.54 per cent).