After slight relief in December, the stock markets fell severely again in January (-8.43%) with increased volatility (44.84%). 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%), 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%) 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). Similarly, the Distressed Securities strategy managed a positive return after seven months of losses. In a context of depressed commodities and bond markets, the CTA Global strategy finally recorded a loss (-0.29%) 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%), confirming its barely positive return in December. Similarly, after seven months of losses, the Event Driven strategy managed a gain (+1.29%). 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%).

Despite the poor performance of the stock markets, the Fund of Funds strategy finally registered its first positive return (+0.86%) since May 2008.


To view EDHEC Risk and Asset Management Research Centre's January figures, please click here (42KB)



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