Market reversals mute hedge fund performance in October

Market reversals mute hedge fund performance in October

The Credit Suisse/Tremont Hedge Fund Index posted a slight gain of 0.13 per cent in October as market reversals muted performance.

This brings the year to date performance of the index to 15.11 per cent through 31 October 2009.

Dedicated short bias had the strongest performance in October, up 4.79 per cent, the sector's first monthly gain since February.

Relative value strategies had a strong month, in part by implementing heavy equity hedges (convertible arbitrage), or by arbitraging changes in central bank policies such as the Reserve Bank of Australia's benchmark rate hike (fixed income arbitrage and global macro).

A number of hedge funds are reducing risk and winding down for the year, particularly those who were net-long the equity/global equity markets and have been able to take profits, while others, who were late to add risk, have continued to seek opportunities arising from the market volatility.

While most equity indices were down for the month, global macro and event driven managers had positive months because of these strategies' flexibility to make gains despite market reversals.
 

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