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Bringing you news, views and analysis since 2013

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Stock market shows stability in February

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The stock market showed more stability in February as implied volatility dropped significantly and passed below the 20 per cent mark for the first time since May 2008, according to Edhec Risk Alternative Indexes.

The S&P 500 index registered a good performance (+3.10 per cent) that significantly – but not entirely – made up for January’s stumble.

Similarly, the commodities market (+6.54 per cent) recovered partially but significantly from January’s loss (-7.33 per cent).

On the fixed income market, both regular bonds (+0.12 per cent) and convertible bonds (+0.70 per cent) managed positive returns.

For the third consecutive month, the dollar (+0.22 per cent) posted a positive but decreasing return.

After ten months of a sustained rise, the credit spread flattened out (-0.03 per cent).

In this favourable context, most hedge funds strategies scored positively.

Sustained by the performance of convertible bonds but hampered by the stabilisation of the credit spread, the convertible arbitrage strategy managed a positive return (+0.39 per cent), albeit with its smallest gain over the last fifteen months.

Like the commodities market, the CTA global strategy performed well (+0.96 per cent) after December (-2.53 per cent) and January’s (-2.78 per cent) storms.

The performance of the stock market significantly benefited the equity-oriented strategies, as the long/short equity strategy (+0.94 per cent) levelled out January’s loss, and the event driven strategy (+0.70 per cent) completed a full year of sustained profits (+27.17 per cent).

The equity market neutral strategy managed a fourth month of modest but steady gains (+0.53 per cent).

Overall, the funds of funds strategy exhibited a moderate gain (+0.15 per cent) that underperformed the S&P 500 index as well as most hedge fund strategies.
 

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