Performance holds up despite uncertainty
February was characterised by very significantly negative returns in stock markets, while volatility, measured by the implied volatility index VIX, rose dramatically with one of the largest increases in 10 years (+48% for the change in implied volatility). The bond markets posted very high positive returns, which could be explained by a logical ‘flight to quality'. Commodity prices also increased significantly, driven by these recent uncertainties. In this environment, nearly all strategies delivered positive returns, except CTA global, which exhibited its first negative return since September 2006.
Like last month, the best-performing strategy was event driven, with a monthly return of 1.60%. The lowest positive return was the 0.38% reported by equity market neutral, while the other strategies were close to each other and ranged between 0.82% and 1.14%.
Convertible arbitrage managers continued to improve their performance (16 months of positive returns in a row) which could be linked to the jump in volatility, despite the large negative returns from the stock markets.
Finally, event driven strategies were able to generate their seventh consecutive positive monthly return in February, which places them in first position in terms of year-to-date return, well ahead of the traditional asset classes (ie, stocks and bonds).
Mathieu Vaissié is research engineer with the Edhec Asset Management Centre