Opalesque Industry Updates - In October, after a remarkable period of substantial gains, the stock market finally registered its first loss (-1.86%) since February 2009. With implied volatility back on the rise in a significant way (30.69%), the S&P 500 index signalled the end of a spectacular recovery that generated an unprecedented +45.76% return over the past seven months.|
Similarly, after a remarkable +39.48% return between February and September, convertible bonds were bound to follow and registered their first loss (-0.76%) in eight months, whereas regular bonds managed yet another limited but positive return (+0.31%). The credit spread rose again (+0.97%) although at a slower pace. On the other hand, after a return to profitability in September, the commodities market skyrocketed (+7.36%) and reached its highest level since last year’s crisis. The dollar remained weak and fell slightly again (-0.30%).
The Convertible Arbitrage strategy did not seem to be affected by the poor performance of risky bonds, and managed yet another month of profitability (+1.26%). Over the past eleven months, the strategy has recorded a remarkable performance of +45.20%. The CTA Global strategy was not able to confirm its two previous gains (-1.39%).
Affected by the fall off on the stock market, the Long/Short Equity strategy also recorded its first loss (-0.94%) since February, although it was only about half of the S&P’s. The Equity Market Neutral strategy failed to produce a positive return and dropped off slightly (-0.12%). Conversely, the Event Driven strategy resisted and remained positive (+0.33%) for an eighth consecutive month. The Fixed-Income strategy registered a tenth month of profitability (+1.94%) and neared its highest level of October 1997.
Overall, the Fund of Funds strategy was not able to record a positive return (-0.05%) but clearly outperformed the stock market (-1.86%).
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