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April was characterised by a very strong positive return in the markets. The S&P500's 4.87% return was the best monthly performance since December 2003. Market volatility fell by five points to around 21%. The fixed income market exhibited strong negative performance, with a return of -1.72% for the Lehman Global Bond index (LGBI). Commodity prices climbed by around 8%, reaching a new historical high.

The best performing strategy was long/short equity, with a return of 2.33%. The CTA global returned -0.82%. This strategy was penalised both by the considerable decline in the bond markets and the appreciation of the US dollar. The increase in commodity prices did not compensate for the two negative effects.

Convertible arbitrage registered a return of 0.93%, benefiting from the positive value of the credit spread. Market neutral and event driven benefited from the positive performance of stock markets, but not to the same extent as long/short equity, as they have lower sensitivity to the stock markets. Their performances were close to their long-term averages.

Véronique Le Sourd is a senior research analyst with the EDHEC Risk and Asset Management Research Centre

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