Stock market volatility remained high in April (36.5 per cent) but fell significantly, passing below the 40 per cent mark for the first time since October 2008, according to Edhec Busin
Stock market volatility remained high in April (36.5 per cent) but fell significantly, passing below the 40 per cent mark for the first time since October 2008, according to Edhec Business School.
Recovering from major losses in January and February, the S&P 500 index bested last month’s remarkable performance and posted its most significant profits (+9.57 per cent) since March 2000.
The commodities market confirmed its recovery and registered a third significant month of positive returns (+2.04 per cent). On the bond market, despite the negative returns of the LGB index (-1.82 per cent), convertible bonds also confirmed last month’s significant profits and managed their best performance (+7.58 per cent) since October 1998.
Greatly benefiting from the performance of convertible bonds and the increasing credit spread, the convertible arbitrage strategy posted a fifth consecutive month of gains (+5.00 per cent).
Similarly, the increasing credit spread benefited to the distressed securities strategy (+3.87 per cent). The emerging markets strategy managed a second month of significantly positive returns (+6.54 per cent). Conversely, the CTA global strategy remained negative (-1.50 per cent) for a fourth consecutive month.
Again this month, the profits of the stock markets benefited the equity-oriented strategies such as long/short equity (+4.24 per cent) and event driven (+3.59 per cent). These strategies posted their best performances since, respectively, February 2008 and April 1999.
On the other hand, equity market neutral could do no better than a slight loss (-0.15 per cent).
Overall, the fund of funds strategy (+1.00 per cent) benefited moderately from the gains on the stock markets.
