After four months of agitation, activity on the stock market seemed to calm down somewhat in October, research by Edhec-Risk Institute shows.
Following exceptional gains in September, the S&P 500 index remained on the rise (+3.80 per cent) and implied volatility (21.20 per cent) decreased significantly by 2.50 per cent to reach its lowest level since last March.
On the fixed income market, regular bonds remained stable (+0.09 per cent) although the Lehman Global Bond index withdrew marginally (-0.16 per cent).
Conversely, after a remarkable performance in September, convertible bonds remained strong (+3.08 per cent). The situation was similar on the commodities market which managed another noticeable performance (+3.31 per cent).
Although not as precipitously as in September, the dollar continued to fall (-1.93 per cent) and reached its lowest level since July 2008.
In this favourable context, all hedge fund strategies, with the exception of short selling, showed solid profitable returns.
With an ever rising credit spread (+0.96 per cent) and strong risky bonds, the convertible arbitrage strategy registered a fifth month of profits (+2.16 per cent). Sustained by the commodities market – animatedly but steadily on the rise – the CTA global strategy managed its best performance (+3.12 per cent) since November 2009.
Similarly to the evolution of the stock market, the event driven (+2.12 per cent) and long/short equity (+2.17 per cent) strategies recorded comfortable profits, although not as substantial as the previous month. Although it did not manage to repeat its historic performance of September, the equity market neutral strategy registered a remarkable return (+1.09 per cent) in view of its low exposure to the stock market.
Globally, similarly to the previous month, the funds of funds strategy exhibited a solid return (+1.52 per cent) that could not match the S&P 500 index performance.
