EDHEC-Risk Alternative Indexes

In October, after four months of agitation, activity on the stock market seemed to calm down somewhat. Following exceptional gains in September, the S&P 500 index remained on the rise (+3.80%) and implied volatility (21.20%) decreased significantly by 2.50% to reach its lowest level since last March.

On the fixed-income market, regular bonds remained stable (+0.09%) although the Lehman Global Bond index withdrew marginally (-0.16%). Conversely, after a remarkable performance in September, convertible bonds remained strong (+3.08%). The situation was similar on the commodities market which managed another noticeable performance (+3.31%). Although not as precipitously as in September, the dollar continued to fall (-1.93%) and reached its lowest level since July 2008. In this favourable context, all hedge fund strategies, with the exception of Short Selling, showed solid profitable returns. With an ever rising credit spread (+0.96%) and strong risky bonds, the Convertible Arbitrage strategy registered a fifth month of profits (+2.16%). Sustained by the commodities market – animatedly but steadily on the rise – the CTA Global strategy managed its best performance (+3.12%) since November 2009. Similarly to the evolution of the stock market, the Event Driven (+2.12%) and Long/Short Equity (+2.17%) strategies recorded comfortable profits, although not as substantial as the previous month. Although it did not manage to repeat its historic performance of September, the Equity Market Neutral strategy registered a remarkable return (+1.09%) in view of its low exposure to the stock market. Globally, similarly to the previous month, the Funds of Funds strategy exhibited a solid return (+1.52%) that could not match the S&P 500 index performance.