After a dramatic decline in May the stock markets fell back strongly again in June, according to data from the Edhec-Risk Institute.
The S&P 500 index fell sharply by 5.23 per cent to its level of October 2009 and implied volatility rose for the fourth consecutive month, by 32.07 per cent, reaching its level of April 2009.
Even though there was still much ground to make up to recover from last month’s spectacular blow, the commodities market managed a significant positive return of 1.43 per cent.
The fixed income market covered mixed ground, with regular bonds exhibiting noticeable profits of 1.13 per cent but convertible bonds remaining in negative territory, down 0.93 per cent. The Lehman Global Bond Index managed its most profitable return over the past 15 months, rising by 1.86 per cent.
After six months on the rise, the dollar finally fell back, down 0.39 per cent, and after last month’s crunch of 2.28 per cent the credit spread shrank more moderately by 0.57 per cent.
Despite the adverse conditions on convertible bonds and the credit spread, the convertible arbitrage strategy managed a positive return of 0.29 per cent.
Along with the good results of regular bonds and commodities, the CTA Global strategy recorded a positive yet modest return of 0.20 per cent.
After a mishap in May, the fixed income strategy rose 0.90 per cent and resumed its ascent started in January 2009.
All the equity-oriented strategies suffered from the ongoing slide in the stock markets. Both the event driven (-1.29 per cent) and long/short equity (-1.69 per cent) strategies registered significant losses again, although about half the magnitude of May’s dip.
The equity market neutral strategy (-0.47 per cent) was naturally less impacted but performed only marginally better than the previous month.
Overall, the fund of funds strategy inevitably stumbled, falling 0.82 per cent. However, in the current depressed situation, all hedge fund strategies clearly outperformed the stock market.
