After three months of significant losses, stock markets managed a positive return of +1.06 per cent in December, with volatility remaining high at 40 per cent, albeit down to two-thirds
After three months of significant losses, stock markets managed a positive return of +1.06 per cent in December, with volatility remaining high at 40 per cent, albeit down to two-thirds of November’s level, according to the Edhec Risk and Asset Management Research Centre.
Over the year, the S&P 500 index registered a record loss of 37 per cent.
Once again, the commodities market registered a double-digit loss of -10.65 per cent, which brought it back to its level of January 2005.
In December, the Lehman Global Bond Index recorded a second consecutive positive month of +3.39 per cent.
Meanwhile, after six months of losses, the Convertible Arbitrage strategy managed a positive return of +1.70 per cent. Edhec says this monthly return is mostly due to convertible bonds, which ended the year with a gain of +7.67 per cent, their best since October 1998.
The CTA strategy achieved a fourth consecutive positive monthly return of +1.45 per cent even though it slipped over the last quarter.
Edhec says the good result of the stock markets positively impacted the equity-oriented strategies. Equity Market Neutral and Long/Short Equity finally managed positive returns after five months of losses. The Even Driven strategy cut its losses (-0.70 per cent) but remained negative.
Over the year, despite the very bad situation prevailing on the commodities markets (-42.80 per cent), the CTA strategy managed a positive yearly return of 15.65 per cent.
With the exception of Short Selling (+31.7 per cent), all other strategies yielded negative yearly returns. However, these hedge fund strategies still managed to perform significantly better than the S&P Index.
