Opalesque Industry Update - In November, renewed activity on the stock market, illustrated by a level of implied volatility that was slightly up (23.5%) on the previous month but with no significant change since July, resulted in a flat trend for the S&P 500 index, which managed to avoid losses (+0.01%).
Conversely, the fixed-income market failed to maintain profitability as the Lehman Global Bond index registered an unusual loss (-0.70%). In detail, after two months of strong progress, convertible bonds
(-1.89%) withdrew noticeably and, after two months of stability, regular bonds (-1.22%) recorded their most severe loss since last December.|
Although it slowed down, the commodities market remained on the rise (+2.07%) for a third consecutive month. After its low point of last month, the dollar benefited from a remarkable rebound (+3.72%).
Harmed by both the poor performance of convertible bonds and a shrinking credit spread (-0.21%), the Convertible Arbitrage strategy ended its five-month climb with a moderate loss (-0.26%) but remained the best-performing strategy over the year. Hampered by the fall-off in regular bonds and the rise of the dollar, the CTA Global strategy registered a noticeable loss (-2.17%) despite the profits on the commodities market.
The Event Driven strategy scored moderately (+0.34%), between a receding Merger Arbitrage strategy (-0.23%) and, considering the shrinking credit spread, an unexpectedly profitable Distressed Securities strategy (+0.72%). Equity Market Neutral managed a third consecutive month of modest gains (+0.47%) as the Long/Short Equity strategy performed slightly better (+0.76%).
Overall, the Fund-of-Fund strategy remained stable (-0.02%), and nearly on a par with the stock market.