"After three months of significant losses, the stock markets managed a positive return (+1.06%) in December, with volatility remaining high (40%), albeit down to two-thirds of November’s level. Over the year, the S&P 500 index registered a record loss of 37%. Once again, the commodities market registered a double-digit loss (-10.65%), which brought it back to its level of January 2005. In December, the Lehman Global Bond Index recorded a second consecutive positive month (+3.39%).

After six months of losses, the Convertible Arbitrage strategy managed a positive return (+1.70%). This monthly return is mostly due to Convertible Bonds, which ended the year with an unusual gain of +7.67%, their best since October 1998. The CTA strategy achieved a fourth consecutive positive monthly return (+1.45%) even though it slipped over the last quarter.

"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%) but remained negative.

Over the year, despite the very bad situation prevailing on the Commodities markets (-42.80%), the CTA strategy managed a positive yearly return (15.65%). With the exception of Short Selling (+31.7%), all other strategies yielded negative yearly returns. However, these hedge fund strategies still managed to perform significantly better than the S&P Index.


To view EDHEC Risk and Asset Management Research Centre's December figures, please click here (40KB)




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