In August, stocks extended their winning streak, with the S&P 500 (2.25%) reaching a one year high in the context of slightly decreasing implied volatility (VIX: 17.5%). High-grade bonds were nearly flat (Lehman Global: -0.13%, Lehman US: 0.02%), while riskier fixed-income instruments remained strong performers (Convertibles: 1.77%, Credit-spread index: 0.45%). Commodities performed impressively (6.17%) for the second month in a row, and the Dollar confirmed a short-term downward trend (-1.34%).
Hedge fund strategies exposed to the equity risk factor, having adapted to the newly established market regime, displayed improved performances when compared to the previous month (Long/Short Equity: 1.02%, Equity Market Neutral: 0.75%, Event-Driven: 1.38%). The non-directional strategies furthermore showed significant idiosyncratic performance indicative of a possible timing effect. Convertible Arbitrage returned a steady 0.64%, with strong sensitivities to credit and convertible bonds outweighing a slight short exposure to equities. CTA Global (-0.90%) suffered from an increased dynamic exposure to the Dollar. The Funds of Funds index, finally, continued to recover thanks to a 0.93% gain, and is approaching its high for the year.