Stock market volatility dropped for a fourth consecutive month in May to 28.92 per cent, according to Edhec Business School.
Stock market volatility dropped for a fourth consecutive month in May to 28.92 per cent, according to Edhec Business School.
The S&P 500 index registered a third month of profits (+5.59 per cent) and reached its level of November 2008.
On the commodities market, the GSCI Commodity Spot index produced a fourth positive month with an unprecedented return of 21.10 per cent.
The bond market also confirmed its profitability as both bonds (+1.48 per cent) and convertible bonds (+7.36 per cent) managed gains despite the poor results (-1.01 per cent) of the LGBI.
The dollar fell sharply (-6.56 per cent), realising its largest fall in the history of the Edhec indices.
After a record gain in April, the convertible arbitrage strategy registered another positive month at an unprecedented level of +6.09 per cent, as it continued to benefit from the good results of risky bonds and the significant credit spread.
After four months of losses, the CTA global strategy finally managed to turn the corner and was up 2.17 per cent.
The emerging markets strategy managed its second best performance (+8.85 per cent) and a third month of increasing profits.
The positive trend on the stock market naturally benefited the equity-oriented strategies. The long/short equity (+5.65 per cent) and event driven (+5.15 per cent) strategies both registered a third month of increasing profits. The equity market neutral strategy returned into positive territory with a significant gain of 1.51 per cent.
Overall, the return of the funds of funds (3.29 per cent) strategy remained in line with that of the stock markets.
