The performance of hedge fund strategies exposed exclusively to equity-related risk factors remained positive despite October’s challenging market environment thanks to a strong dynamic alpha, according to the Edhec-Risk Alternative Indexes.
Equity market neutral rose by 0.34 per cent and long/short equity by0.25 per cent.
The event driven strategy, benefiting from additional credit exposure, posted a higher 0.53 per cent.
The convertible arbitrage strategy (0.04 per cent) was almost flat, with influences of its main exposures (credit and convertibles) mostly cancelling each other out, and a slightly negative dynamic alpha.
CTA global (-3.22 per cent) suffered one more huge idiosyncratic loss and remains the worst amongst the main strategies this year so far (-2.95 per cent year-to-date).
Funds of funds, which maintain low overall market exposure, only lost a marginal 0.24 per cent.