Opalesque Industry Update -
In January, the stock markets stumbled on the road to recovery begun last March (apart from a mishap in October), and registered a severe loss (-3.60%) in a context of rising implied volatility (24.62%).|
On the bond market, the situation is mixed. As with the stock market, convertible bonds lost significant ground (-1.38%) after a positive trend started in March 2009. Conversely, regular bonds returned to profitability (+0.53%) after last month’s unusual losses. After three months of significantly positive but decreasing gains, the commodities market suffered its most severe blow (-7.33%) since the crisis of 2008. The dollar scored positively (+1.46%) and confirmed its result in December. The credit spread rose for the tenth consecutive month (+0.59%)."
"In a context of increasing credit spreads, the Convertible Arbitrage strategy held up against the loss on the risky bond market and managed yet another profit (+0.62%), although this was the smallest in fourteen consecutive months of gains. After an already significant loss in December, the CTA Global strategy fell strongly again (-2.82%), with its most negative return since July 2008, and returned to its level of November 2008.
The equity-oriented strategies performed diversely. Despite the weak performance of the stock market, the Event Driven strategy managed an eleventh consecutive month of profits (+0.74%). Conversely, the Long/Short Equity strategy recorded its second and most strongly negative return (-1.02%) since February 2009. As expected, the Equity Market Neutral strategy was barely affected by the situation on the stock market and performed well (+0.34%)."
In such a poor context, the Funds of Funds strategy could not maintain profitability and recorded a slight loss (-0.21%). However, although some hedge-fund strategies lost ground – in particular the most highly affected CTA Global strategy (-2.82%) –, they all clearly outperformed the S&P 500 Index (-3.60%).