The month of April was characterised by very strong positive returns in the stock markets, while volatility, measured by the implied volatility index VIX, remained at the same level as last month. Equity-orientated strategies posted good performance in April despite worries over a deteriorating sub-prime housing market in the US and, as a result, strategies which have historically had a long bias in equity securities performed best.

Nearly all strategies delivered positive returns, except short selling with -2.62%. The best-performing strategy was CTA global with a monthly return of 2.10% and the lowest positive return was the 0.45% reported by the convertible arbitrage managers who, nevertheless, continued to improve their historical performance of 18 months of positive returns.

The long/short equity index was up 2.06%, which can be explained by long/short managers' tendency to outperform the broad hedge fund average (which can be represented by the fund of funds index) when equity markets are strong as they were in April. Convertible arbitrage was up only 0.45%.

Finally, event driven strategies were able to generate their ninth consecutive positive monthly return in February, which places them in first position in terms of year-to-date return (+7.85%), well ahead of the other hedge fund strategies and traditional asset classes (stocks and bonds).

Mathieu Vaissié is research engineer with the Edhec Asset Management Centre in Nice