The ebb and flow of the stock market over the past few months continued in September, with the S&P 500 index surging 8.92 per cent and implied volatility decreasing by 2.35 per cent, according to research by Edhec Risk Institute.

On the fixed income market, risky bonds also benefited from the ambient optimism and managed an outstanding performance of 5.59 per cent, while regular bonds remained stable (-0.01 per cent), like the Lehman Global Bond Index (+0.02 per cent).

The commodities market also registered its best performance (+9.40 per cent) over the past 16 months. The dollar fell sharply, down 4.21 per cent.

The rise of convertible bonds and of the credit spread (+1.00 per cent) sustained the convertible arbitrage strategy (+1.93 per cent) which managed a fourth consecutive month of profits. With only one monthly loss over the past 22 months, it confirmed its status as best-performing strategy of the year, up 8.52 per cent YTD.

Despite the stability of bonds but following the upward trend on the commodities market, the CTA global strategy registered a second month of solid profits, up 2.60 per cent.

Benefiting from the good performance of the stock market, the event driven (+2.94 per cent) and long/short equity (+4.26 per cent) strategies naturally scored well. Despite its limited exposure to the stock market, the equity market neutral (+1.81 per cent) strategy even managed its best performance over the last ten years.

Globally, all but one strategy registered solid returns in September and, with its most profitable performance in 16 months, the  fund of funds strategy (+2.20 per cent) finally renewed with a positive year-to-date performance (+1.70 per cent YTD).