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With volatility is still at its highest levels (56%), the stock markets again had to face adverse conditions in November and produced a significantly negative return (-7.18%), although this was less than half October's record. The S&P500 index has now returned to its level of July 2003.

Similarly, the commodities market produced a severe loss (-13.09%), although again less than half October's, and has now returned to its level of June 2005.

On the fixed income markets, the Lehman Global Bond index recorded a significantly positive return (+5.31%).

The difficult situation in the stock markets continues to impact the equity-oriented strategies: over the past five months, event driven, equity market neutral, and long/short equity have all produced negative returns.

The convertible arbitrage strategy is impacted by the ongoing negative credit spread (-3.71%) and has returned to its level of December 2001.

Despite the poor results in the commodities market, the CTA global strategy managed a second consecutive positive month (+1.99%), in a context of a strong dollar and the positive return of highly-rated bonds.

Patrice Retkowsky is research engineer with the EDHEC Risk and Asset Management Research Centre in Nice

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