Key Takeaways
- • Managed futures delivered the strongest October performance at +4.29%, outpacing all other hedge fund strategies tracked by the Dow Jones Credit Suisse Hedge Fund Index and achieving 11.00% year-to-date returns.
- • The DJ Credit Suisse Hedge Fund Index rose 1.92% in October and 8.02% year-to-date, with nine of ten strategies posting positive returns as global equity, commodity, and credit markets rallied.
- • Trend-following managers within managed futures capitalized on long exposures to precious metals, equities, agriculture, and currencies during the month.
- • Global macro strategies led year-to-date performance with 11.10% gains, driven primarily by fixed income trades including US Treasury yield curve steepeners and positioning ahead of QE2 expectations.
- • Long/short equity gained 2.00% in October as managers benefited from declining stock correlations and increased price dispersion, prompting higher gross and net exposure increases.
Summary
The Dow Jones Credit Suisse Hedge Fund Index recorded broad-based strength in October 2010, with nine of ten tracked strategies delivering positive returns amid supportive market conditions. The index itself advanced 1.92% during the month and 8.02% through the year-to-date period, reflecting gains across diversified hedge fund categories.
Managed futures emerged as the clear performance leader for October, returning 4.29% and establishing itself as a top performer for the year with 11.00% gains. Trend-following managers within the managed futures category drove these returns by maintaining long exposures to precious metals, equities, agricultural commodities, and currency pairs—positioning that benefited directly from rising global asset prices across multiple markets during the period.
Global macro strategies, while posting a more modest +1.62% October return, led the index on a year-to-date basis with 11.10% in cumulative gains. Managers in this category capitalized primarily on fixed income opportunities, including US Treasury yield curve steepening trades and long positions concentrated in the belly of the curve in response to anticipated quantitative easing measures. Long/short equity strategies generated 2.00% October returns as managers adjusted positioning to exploit decreased correlations within equity indices and elevated dispersion in individual stock prices, prompting broader increases in both gross and net exposures during the month.
Event-driven managers contributed 1.80% to October's index performance and 8.22% year-to-date, with practitioners in this category increasingly focusing capital deployment toward small and mid-cap opportunities as larger corporations seeking debt refinancing found easier access to active capital markets.
Managed futures emerged as the clear performance leader for October, returning 4.29% and establishing itself as a top performer for the year with 11.00% gains. Trend-following managers within the managed futures category drove these returns by maintaining long exposures to precious metals, equities, agricultural commodities, and currency pairs—positioning that benefited directly from rising global asset prices across multiple markets during the period.
Global macro strategies, while posting a more modest +1.62% October return, led the index on a year-to-date basis with 11.10% in cumulative gains. Managers in this category capitalized primarily on fixed income opportunities, including US Treasury yield curve steepening trades and long positions concentrated in the belly of the curve in response to anticipated quantitative easing measures. Long/short equity strategies generated 2.00% October returns as managers adjusted positioning to exploit decreased correlations within equity indices and elevated dispersion in individual stock prices, prompting broader increases in both gross and net exposures during the month.
Event-driven managers contributed 1.80% to October's index performance and 8.22% year-to-date, with practitioners in this category increasingly focusing capital deployment toward small and mid-cap opportunities as larger corporations seeking debt refinancing found easier access to active capital markets.
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