After the elation of the previous month, the stock market exhibited more cautious optimism in April as the S&P 500 index increased by 1.58 per cent but displayed implied volatility (22.05 per cent) that was slightly on the rise, according to a report by Edhec Risk Institute.
The commodities market achieved a third consecutive month of remarkable gains, up 3.73 per cent.
On the fixed income market, the Lehman Global Bond index managed a solid profit of 1.05 per cent as regular bonds (+0.66 per cent) outperformed convertible bonds (+0.64 per cent). The latter were unable to reproduce their excellent score in March.
The growth of the credit spread (+0.44 per cent) remained positive. On the money market, the dollar accelerated its ascent, rising by 0.59 per cent, to its highest level since June 2009.
All hedge fund strategies benefited from this favourable situation.
Unaffected by the recovery in the stock market and sustained by the increasing credit spread and profitable convertible bonds, the convertible arbitrage strategy continued its post-crash trend and registered yet another solid gain of 2.13 per cent.
The CTA Global strategy managed a third consecutive month of positive returns, up 1.15 per cent, in line with its long-term correlation to the regular bonds and commodities.
The increase of the credit spread maintained the very significant profitability of the distressed securities strategy which managed a thirteenth month of continuous gains and increased by 2.49 per cent.
The equity market neutral strategy registered a modest performance of 0.30 per cent but completed a full semester of profitability.
The long/short equity strategy managed a more consistent profit of 1.06 per cent which brought it close to its highest level of October 2007.
Finally, with a considerable gain of 1.82 per cent, which outperformed the S&P 500 index, the event driven strategy achieved a fourteenth month of profitability and pushed its highest level even further.
Overall, the fund of funds strategy recorded an above average performance of 0.95 per cent.
