After slight relief in December, stock markets fell severely again in January (-8.43 per cent) with increased volatility (44.84 per cent), according to the latest update from Edhec.
After slight relief in December, stock markets fell severely again in January (-8.43 per cent) with increased volatility (44.84 per cent), according to the latest update from Edhec.
The S&P 500 index has now reached its level of May 2007.
The commodities market remains depressed and registered a seventh consecutive monthly loss (-3.68 per cent), albeit by far the least significant over that period.
The bond market slipped into negative territory again, as reflected by the negative performance (-2.92 per cent) of the Lehman Global Bond Index.
As the credit spread increased significantly, the convertible arbitrage strategy confirmed last month’s recovery with a second positive return in a row (+5.61 per cent).
Similarly, the distressed securities strategy managed a positive return (+0.76 per cent) after seven months of losses.
In a context of depressed commodities and bond markets, the CTA global strategy finally recorded a loss (-0.29 per cent) after four months of positive returns.
The results of the equity-oriented strategies are mixed. The equity market neutral strategy managed a second positive month (+1.22 per cent), confirming its barely positive return in December.
Similarly, after seven months of losses, the event driven strategy managed a gain (+1.29 per cent).
On the other hand, the long/short equity strategy did not follow through on its December result and registered a slightly negative performance (-0.16 per cent).
Despite the poor performance of the stock markets, the fund of funds strategy finally registered its first positive return (+0.86 per cent) since May 2008.
