August had returns in the stock market, as shown by the 1.45% return of the S&P 500, which compensated for the losses of July. The S&P 500 has now returned to its September 2006 level. Market volatility fell again, to 20.65%. The fixed income market remained positive with a return of 1.25% for the Lehman Global Bond index. Commodity prices fell around 7%, sending prices back to just below their April 2008 levels.
All hedge fund strategies posted negative returns. But with the exception of market neutral, returns were not as deeply negative as last month. The least negative strategy was event driven, with a return of -0.30%, while the poorest performance was posted by equity market neutral, with -1.52% closely followed by long/short equity with -1.49%. The equity-oriented strategies - event driven, market neutral and long/short equity - continue to suffer from turbulence in the stock markets.
CTA global was negatively affected by the fall in commodity prices and the strengthening of the US dollar, but positively affected by the performance of bond markets; combined, these effects led to negative performance of -0.88%. With a return of -0.68%, convertible arbitrage also posted losses that are minor in comparison with those posted in July.
Véronique Le Sourd is a senior research analyst with the EDHEC Risk and Asset Management Research Centre
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