After a moderate gain in June both bonds (2.14%) and convertible bonds (5.93%) managed comfortable gains in July, a fourth month of positive returns. The results are from the Edhec alternative indexes family.

The dollar (down 3.63%) returned to negative territory while the commodities market managed a sixth consecutive month of profits (+1.60%).

Highly influenced by the increasing credit spread and the performance of convertible bonds, the convertible arbitrage strategy (up 6.56%) managed its highest monthly return in the history of the indexes. Over the past eight months the strategy has recovered (up 36.6%) from last year's crash and returned to its level of May 2008.

The distressed securities strategy (up 3.39%) also benefited from the increasing credit spread and registered a fifth month of profits.

With a limited loss, the CTA global strategy remained negative (down 0.19%) in July. The emerging market strategy is rising and registered another significant gain (up 4.39%), lifting its returns over the past five months to 25.8%.

The equity market neutral strategy managed a third month of moderate profits (up 0.27%). The remarkable returns on the stock market positively impacted the event driven (up 3.39%) and long/short equity (up 2.85%) strategies, which both managed a fifth month of profits, although they still underperformed the S&P 500 index.

Overall, the funds of funds strategy (up 1.51%) produced a fifth month of moderate gains.

Edhec alternative indexes - overview July 2009

* Cumulative return since January 1st of the current year. Source: Edhec