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July 24, 2006 at 08:00 PM
LILLE, France (HedgeWorld.com)–Flat stock market returns, coupled with a level of volatility that was low by historical standards but relatively stable, were the main factors behind the generally indifferent returns on the Edhec alternative indexes for the month of June.
For the second consecutive month short-selling achieved the best returns, advancing 1.3%. In positive territory also were equity market neutral (0.88%), merger arbitrage (0.74%), emerging markets (0.49%) and relative value (0.47%).
In spite of Edhec’s observation that “[c]ommodity prices increased significantly from their historical mean, driven by the recent uncertainties,” CTA global was the worst performer, with returns of negative 1.17%. This may be an indication that, having unwound their longest positions during the commodities price slump in May, CTA strategies found themselves net short in June, and unable to profit from the price recovery.
It was a poor month, too, for long/short equity, down 0.51%, and for Edhec’s fund of funds index (down 0.46). Other strategies were more or less flat: fixed-income arbitrage (up 0.06%), convertible arbitrage (up 0.09%), and event-driven (up 0.15%) were slightly positive, while distressed securities (down 0.12%) and global macro (down 0.20%) both slipped a little.
