Opalesque Industry Update - In April 2013, the stock markets’ winning streak extended to six months. The S&P 500, with a 1.93% return, reached an all-time high while equity implied volatility remained extremely low, with the VIX at 13.5%. High-grade bonds rebounded (Lehman Global: 0.89%, Lehman US: 0.29%), credit spreads tightened slightly (index: 0.18%) and convertible bonds recorded another impressive performance (2.33%) confirming a trend established for almost a year. Commodities suffered a crushing 4.67% loss, the worst since May 2012, led by base metals and crude oil. The dollar, finally, slid significantly (-0.98%) erasing last month’s gains.|
Equity-focused strategies all exhibited returns consistent with their modelled exposure which has been rather low lately, with a slightly negative implied alpha however: Long/Short Equity (0.65%), Equity Market Neutral (0.00%) and Event Driven (0.82%).
The Convertible Arbitrage strategy (0.54%) maintained its positive trend but did not show the usual alpha in addition to its risk factor exposures. CTA Global (2.08%) was the best performing strategy this month. The Funds of Funds strategy finally, with a 0.70% gain, and six consecutive positive months, confirmed a good start to the year 2013.