Market volatility at stable high

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The month of December was marked by a moderate decline in the stock markets, as shown in the returns for the S&P 500, despite anticipations of a new fall in the US Federal Treasury's intervention rate, which the economic climate seemed to point towards.

Market volatility remained almost stable at a historically high level, that is to say, very close to its level last summer during the sub-prime crisis.

The fixed income market recorded a negative performance for the first time in six months, doubtless as a result of the disappointment surrounding the interest rate cut of only 0.25%.

Commodity prices climbed to new historical highs with a gain of more than 5%.

In this context, the performance of the hedge fund strategies was mixed. CTA managers (+1.23%) logically benefited from the record prices for commodities and the high volatility in the stock markets. Despite the negative performance of the stock markets as a whole, long/short equity managers produced a positive performance (+0.49%) thanks to the solid returns of non-cyclical and technology stocks.

The most poorly performing strategy was convertible arbitrage, with a return of -0.9%, while the strongest performance came from CTA global.

Fabrice Tahar is a research analyst with the EDHEC Risk and Asset Management Research Centre

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