Hedge funds deliver across-the-board gains in May 
(18/06/2009)
The EDHEC Alternative Indexes use factor analysis techniques to provide the best possible one-dimensional summaries of the information conveyed by the competing hedge fund indexes that are currently available on the market. Therefore, they can be thought of as a set of hedge fund indexes providing a cross section of existing indexes for each hedge fund strategy.
In May, the stock market confirmed that it was on its way to recovery. Volatility (28.92%) dropped for a fourth consecutive month and passed below the 30% mark. The S&P 500 index registered a third month of profits (+5.59%) and reached its level of November 2008.
On the commodities market, the GSCI Commodity Spot index produced a fourth positive month with an unprecedented return (+21.10%). The bond market also confirmed its profitability as both bonds (+1.48%) and convertible bonds (+7.36%) managed quite respectable gains despite the poor results (-1.01%) of the LGBI.
The dollar fell sharply (-6.56%), realising its largest fall in the history of the EDHEC indices.
After a record gain in April, the Convertible Arbitrage strategy registered another positive month at an unprecedented level (+6.09%), as it continued to benefit from the good results of risky bonds and the significant credit spread. After four months of losses, the CTA Global strategy finally managed to turn the corner (+2.17%). The Emerging Markets strategy managed its second best performance (+8.85%) and a third month of increasing profits.
The positive trend on the stock market naturally benefited the equity-oriented strategies. The Long/Short Equity (+5.65%) and Event Driven (+5.15%) strategies both registered a third month of increasing profits. The Equity Market Neutral strategy returned into positive territory with a significant gain (+1.51%).
Overall, the return of the Funds of Funds (3.29%) strategy remained in line with that of the stock markets.
Related categories: Invest in Hedge funds
