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The S&P 500 index registered a sixth consecutive month of gains in August, rising by 3.61 per cent in a context of stable implied volatility (26.01 per cent), according to research by Edhec.

Since its low point in February, the S&P 500 index has managed a 40.5 per cent recovery as implied volatility has dropped by 44 per cent.

The bond markets followed the same trend, as illustrated by the positive returns of the Lehman Global Bond Index (0.89 per cent). With a moderate gain (0.70 per cent), bonds returned to their level of April 2004. With a more significant jump (3.41 per cent), convertible bonds recorded a sixth month of profits and managed a spectacular 36.9 per cent recovery from their low point in November 2008.

The credit spread has kept widening and has returned to its level of July 2007. The dollar remained low but stable (+0.11 per cent) whereas the commodities market registered its first loss (0.79 per cent) since the beginning of the year.

Under the positive influence of both an increasing credit spread and the solid performance of convertible bonds, the convertible arbitrage strategy managed yet another significant gain (3.28 per cent) despite its long-term negative correlation with the S&P index. This ninth consecutive rise brought the strategy back to its level of December 2007. The CTA global strategy returned to profitability (0.81 per cent) after last month’s limited loss.

The equity market neutral strategy (+0.69 per cent) persisted with moderate but steady gains. The other equity-oriented strategies, event driven (+2.37 per cent) and long/short equity (+1.74 per cent) benefited significantly from the rising stock market.

Similarly, the fund of funds strategy recorded a sixth consecutive month of gains (1.24 per cent).


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