The S&P 500 (-1.13% in May) recorded its first loss last month since August after an eight-month trend of sustained growth in a market with 15.5% volatility, according to a statement released by EDHEC-Risk.
The commodities market suffered its worst performance since May 2010 as it dropped 6.79%, while the US dollar increased 1.98% in May after months of depreciation, according to the institute.
Convertible bonds dropped 1.36% after five consecutive months of profit, but regular bonds continued in an upward fashion (0.54%), EDHEC-Risk says.
According to EDHEC-Risk, hedge fund strategies were unable to maintain profitability in the unfavorable market, as stated by Eurekahedge with its report that hedge funds were down 1.15% worldwide in May.
In this unfavorable context, very few hedge fund strategies could maintain profitability, EDHEC-Risk said in the statement. With the poor performance of risky bonds and the receding credit spread, the convertible arbitrage strategy (-0.03%) remained barely stable after three months of waning profits. The CTA Global strategy (-3.30%), continuing its series of back and forth, offset the profits of April to bring its year-to-date performance under par.
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