Opalesque Industry Update - In December, the stock market ended the year with another gain (+1.93%) and implied volatility (21.68%) was at its lowest level since May 2008. With a remarkable annual return in 2009 (+26.5%), the S&P Index recovered half the losses of the disastrous previous year (-37.0%).|
On the bond market, regular bonds (-1.63%) registered their first loss since February but remained at a higher level than their pre-crisis peak of February 2008. On the other hand, convertible bonds (+1.45%) recorded a full year of monthly gains, managed an unprecedented annual performance (+36.8%) and reached their level of May 2008. The commodities market achieved a fourth month of significant gains (+2.35%). However, its remarkable return since February 2009 (+56.0%) only represents one-third of its losses after June 2008. The dollar scored well (+3.0%) and made up for the three previous months. The credit spread rose again (+2.33%) for a ninth consecutive month.
The good results of risky bonds and the increasing credit spread kept Convertible Arbitrage on the rise (+2.18%). With a full year of substantial monthly profits, the strategy scored a yearly gain (+46.9%) which made up for the 2008 losses (-25.6%), and clearly outperformed the S&P. Similarly, both Distressed Securities (+3.65%) and Emerging Market (+2.32%) strategies registered a tenth consecutive month of sound profit, and clearly outperformed (respectively +30.9% and +37.9%) the stock market over the year.
After a year of wavering monthly performances, the CTA Global strategy ended on a significantly negative note (-2.75%) which turned its annual result into a loss (-2.13%). Conversely, the Equity Market Neutral strategy scored positively (+0.84%) and secured a yearly gain (+5.20%) in line with the pre-crisis performances.
The Event Driven (+2.57%) and Long/Short Equity (+1.99%) strategies benefited from the stock market performance and both registered significant gains. Over the year, reflecting their correlation with the stock market, both strategies achieved annual performances (respectively +26.0% and +20.2%) that were comparable to but slightly below the S&P.
Overall, the Funds of Funds strategy registered a modest gain (+0.70%) and exhibited a yearly performance (+10.7%) which was clearly below that of the stock market.
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