In September the stock market persisted with the steady climb begun in February, as the S&P 500 index registered a significant gain (3.73 per cent) that was comparable to last month’s result, according to research by Edhec.

Implied volatility remained stable (25.61 per cent) for the third consecutive month, although still well above pre-crisis levels.

The commodities market quickly overcame last month’s loss with a significant gain (1.97 per cent). On the flip side, the dollar dropped again (-0.87 per cent) after last month’s stabilisation. After a pause in August, the emerging markets rose steeply again (9.02 per cent).

The bond markets remained profitable, still boosted by convertible bonds, which managed another remarkable gain (3.99 per cent), whereas overall progress of bonds was modest (0.21 per cent). The credit spread continued to widen (1.05 per cent) for a sixth consecutive month, although at a slower rate.

In this context, the convertible arbitrage strategy remained unaffected by its negative exposure to the stock market. With yet another significant gain (3.94 per cent), the strategy topped its level of October 2007 and set a new high point. Over the past ten months, it has recorded a performance of 43.75 per cent.

The distressed securities (+4.38 per cent) and fixed income (+2.67 per cent) strategies also greatly benefited from the widening credit spread.

The CTA global strategy confirmed last month’s moderate gain with a better performance (1.69 per cent). With a fifth profitable month (0.83 per cent), the equity market neutral strategy seems to have recovered its tendency for moderate but solid gains. With significant positive correlations with the S&P 500, the event driven (+3.62 per cent) and long/short equity (+2.99 per cent) strategies responded well to the rise of the stock market.

Similarly, the funds of funds strategy remained on the rise and recorded a seventh month of positive returns (1.78 per cent).