In November, stocks rebounded slightly (S&P 500: 0.58%), with an implied volatility index falling back near 2012 lows (VIX: 15.9%). High-grade bonds were mixed, advancing globally (Lehman Global: 0.52%), but retreating in the US (Lehman US: -0.20%). Risky credit experienced its first setback in six months (credit-spread index: -0.84%) while convertible bonds erased the previous month’s loss (0.94%) to reach a new high so far this year. Commodities bounced back (1.93%) but remain approximately flat year-to-date while exhibiting tremendous volatility, whereas the US dollar progressed only marginally (0.20%).
The performance of hedge fund strategies exposed to equity-related risk factors was significantly positive and continued to show a strong level of dynamic alpha (Equity Market Neutral: 0.46%, Long/Short Equity: 0.70%, Event Driven: 0.74%).
The Convertible Arbitrage strategy’s gains (0.62%) were realised entirely in excess of a negligible equity exposure, as well as credit and convertible bond exposures which produced almost opposite effects.
CTA Global (-0.08%), while almost flat, remained the worst main strategy this month once again. Funds of Funds, finally, gained 0.44%, benefiting from the alpha produced by most underlying strategies.