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In January, stocks gained significant momentum, with the S&P 500 (5.18%) reaching a five-year high in the context of sharply decreasing implied volatility (VIX: 14.3%). High-grade bonds lost some ground (Lehman Global: -0.81%, Lehman US: -0.64%), while risky credit improved slightly (Credit-Spread Index: 0.21%) and convertible bonds benefited from their equity component (2.53%). Commodities rebounded vigorously (4.45%), and the dollar was nearly flat (-0.04%).

The performance of hedge fund strategies exposed to the equity risk factor was the highest in the last eight months of a firmly-established positive trend, and furthermore exhibited a strong alpha component (Long/Short Equity: 3.40%, Equity Market Neutral: 1.60%, Event-Driven: 2.26%). Convertible Arbitrage returned a steady 1.55%, with strong sensitivities to credit and convertible bonds outweighing a slight short exposure to equities. CTA Global (1.86%) posted the second positive, idiosyncratic performance in a row, breaking the pattern of recurring losses established for the past 10 months. The Funds of Funds strategy, finally, reached its highest level since May 2011 thanks to a 2.15% gain, with a magnitude not seen for more than two years.

EDHEC Risk

Press Release

BM