After some disappointing returns in May, the stock market endured another difficult month as the S&P 500 index recorded a second consecutive month of significant losses with a 1.67% drop while implied volatility rose one full percentage point to 16.5% in June, according to a statement released by EDHEC-Risk.
However, these hard times brought an end to the unsustainable growth of the stock market over the past year as it saw a 31.78% increase and a radical drop of 10% in implied volatility, EDHEC-Risk says.
The fixed-income market also faced difficulties. Although not performing as poorly as last month, convertible bonds fell again by 1.03% and reverted to their level of January. After positive returns in April and May, regular bonds returned to negative territory with a 0.77% drop. The commodities market registered a second month of spectacular losses, falling 5.43%. Similarly to the S&P 500, these losses came after an exceptional growth of 52.01% during the previous eight months.
In such poor market conditions, all hedge-fund strategies struggled and displayed negative performances, except fixed income arbitrage, the report says.
The drop in the commodities market, a fall of 2.27%, impacted the CTA Global strategy which registered a second month of heavy losses, although not as severe as last month, according to the institute.
Overall, the fund-of-fund strategy limited its losses more effectively than the S&P 500, dropping 1.36%
(CM)