After last October's historical peak following the Lehman Brothers bankruptcy, volatility (26.35 per cent) continued the steady decrease that started in February and returned to its level of September 2008.

The bond market remained positive (up 1.00 per cent) but, like the stock market, convertible bonds registered a somewhat moderate gain (up 0.92 per cent) compared to the last three months, which all saw returns above five per cent.

The dollar ended its decline with a respectable result (up 2.17 per cent). After remarkable profits in March and May, the commodities market produced a fifth consecutive positive return, but at a more usual level (up 1.62 per cent).

Continuing to align with the performance of risky bonds and a positive credit spread, the convertible arbitrage strategy recorded yet another month of profits (up 2.62 per cent) and managed a remarkable first semester (up 24.40 per cent YTD).

Conversely, and after last month's first gains for 2009, the CTA Global strategy returned to negative territory (-1.53 per cent).

The equity market neutral strategy managed a second month of positive performance (up 0.41 per cent). Like stocks and convertible bonds, the event driven (+1.32 per cent) and long/short equity (+0.10 per cent) strategies registered positive but limited gains in comparison to the previous three months.

Overall, the funds of funds strategy (+0.32 per cent) only managed a moderate premium over the S&P 500 index.