The Risk and Asset Management research centre at French business school Edhec notes that June saw a very sharp decline in the stock markets with the S&P 500 plungi
The Risk and Asset Management research centre at French business school Edhec notes that June saw a very sharp decline in the stock markets with the S&P 500 plunging 8.4 per cent, its worst monthly performance since September 2002, and reaching to its lowest level since August 2006. Market volatility increased to 24 per cent, a level last seen in March. Fixed-income enjoyed a slight increase of 0.79 per cent following two consecutive negative months, and commodity prices continued to set new records with an increase of almost 10 per cent.
In this challenging context, eight of the 13 hedge fund strategies in the Edhec Alternative Indexes posted negative returns. Emerging markets, one of May’s best-performing styles, was the worst performer with a decline of 2.58 per cent, heavily influenced by the poor performance of the stock markets. Long/short equity lost 1.45 per cent and event-driven funds were down by 1.32 per cent.
By contrast, short selling outperformed all other styles, returning 8.08 per cent, while other positive performers were CTA global (3.33 per cent), equity market neutral (1.92 per cent), global macro (0.93 per cent) and distressed securities (a bare 0.05 per cent).
CTA global funds were the top performers over the first six months of the year with 12.8 per cent, just ahead of short selling with 12.6 per cent; global macro returned 4.2 per cent, equity market neutral 3.4 per cent and merger arbitrage 0.8 per cent. Emerging markets declined by 5.2 per cent in the first half, which convertible arbitrage (3.0 per cent), funds of funds and long/short equity (2.1 per cent each) and event-driven (2.0 per cent) also lost significant ground.