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In October, global financial markets posted gains despite the continuation of generational inflation and expectations for further interest rate increases by the Federal Reserve. Equity gains were led by US large caps, with the DJIA surging to the strongest monthly gain in over 40 years and the S&P 500 and Nasdaq also posting positive performance for October. Italy, France, Germany, & Korea led regional gains. Interest rates rose for the month, led by increases in long-dated maturities as the yield curve steepened; the US Dollar was mixed, falling against the Euro and British Pound while gaining against the Swiss Franc and Japanese Yen. Commodities were mixed, with Energy gains led by Oil and Metal gains led by Platinum. Agricultural commodity losses were led by Cotton & Coffee.
Hedge Funds posted gains in October with the HFRX Global Hedge Fund Index gaining +0.08%.
HFRX Equity Hedge Index posted a gain of +1.03% for the month from gains in Fundamental Value, Market Neutral, and Fundamental Growth Strategies. The HFRX Fundamental Value index gained +1.57% from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index gained +0.37% from gains in mean-reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Growth Index gained +0.19% from gains concentrated in small-cap US & European equities.
HFRX Relative Value Index gained +0.74% for October from gains in Convertible Arbitrage strategies as well as Multi-Strategy managers. The HFRX Convertible Arbitrage Index gained +1.29% as volatility rose for the month. The HFRX RV: Multi-Strategy Index gained +0.68% as the Federal Reserve continued to increase interest rates.
HFRX Macro/CTA Index posted a gain of +0.15% for the month with gains partially offset by systematic trend-following managers. The HFRX Macro Systematic/CTA Index declined -0.18% as the US Dollar’s performance was mixed for the month with gains against the Swiss Franc and Japanese Yen and declines against the Euro and British Pound. Commodities were also mixed, with Oil and Platinum leading Energy and Metals gains while Cotton and Coffee led Agricultural commodity losses.
HFRX Event Driven Index declined -1.66% for October with gains in Merger Arbitrage managers partially offsetting the declines seen in Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +2.00% as global equities saw positive gains across geographies and sectors and activity in global M&A deals continued. The HFRX Special Situations Index declined -1.89% for the month from exposure to global catalyst-driven, fundamental value equities.
Comments reference performance figures as of October 31, 2022