The Credit Suisse/Tremont Hedge Fund Index was up 3.16 per cent in October, according to Credit Suisse Index president Oliver Schupp, while the provider’s Blue Chip Investable Hedge Fund I
The Credit Suisse/Tremont Hedge Fund Index was up 3.16 per cent in October, according to Credit Suisse Index president Oliver Schupp, while the provider’s Blue Chip Investable Hedge Fund Index was up 2.51 per cent and the Credit Suisse/Tremont Emerging Markets Sector Invest Index was up 4.80 per cent.
‘In October, the Federal Reserve enacted the second rate cut in two months to stop the credit crunch from further impacting the global economy,’ Schupp says. ‘As stated by the Fed, the quarter percentage point cut sought to forestall some of the adverse effects on the broader economy. The interest rate cuts promoted a rally in global stock markets while Treasury notes declined, the dollar weakened, and crude oil rose to a record USD95.91 a barrel.
‘Overall, this environment led to the majority of hedge fund sectors ending October on a positive note. In particular, emerging markets was up 5.48 per cent as managers profited from rallies in equity emerging markets, particularly in Asia and eastern Europe.’
The funds in the Blue Chip Investable Index and the Sector Invest Indices are selected from the funds included in the Credit Suisse/Tremont Hedge Fund Index, comprising the largest funds that are open to investment and meet certain liquidity constraints in each of the 10 style-based sectors.
France’s Edhec Risk and Asset Management Research Centre, which calculates an ‘index of indices’ for alternative investment strategies, notes that October was marked by a continuation of the rebound in the stock markets that began the previous month, following the decision of the Federal Reserve to lower its main intervention rate by 50 basis points.
‘Market volatility remained stable and the performance of the fixed-income markets was positive for the fourth consecutive month,’ the Edhec centre said in its latest performance update. ‘The price of raw materials continued to reach record highs, climbing by almost 10 per cent.’
Most hedge fund strategies managed to produce significantly positive returns that were well above their historical averages, especially long/short equity (3.05 per cent) and convertible arbitrage (1.88 per cent), which outperformed their historical averages by 2.27 per cent and 1.13 per cent respectively, Edhec says
CTA global managers repeated their performance of the previous month with very strong returns of 4.3 per cent, thanks to extremely high prices of raw materials and the robust health of the fixed-income markets. The poorest performing strategy for the month, apart from short selling, was fixed income arbitrage, with an October return of 0.96 per cent. By contrast, the best performance came from emerging markets with 4.89 per cent.