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In October, global financial markets posted declines heading into the US election, with small declines in equities led by larger declines in bonds as interest rates increased. Equities market declines were led by weakness in healthcare & semiconductors, while France, India, and Hong Kong led regional declines. Persistent inflation heightened uncertainty regarding the pace and extent of future Federal Reserve interest rate cuts. Meanwhile, the U.S. dollar appreciated against most currencies. Commodity performance was mixed: Cocoa, gold, silver, and oil recorded notable gains, while natural gas, copper, and rubber faced the largest losses.

Hedge funds declined in October with the HFRX Absolute Return Index declining -0.07% and the HFRX Global Hedge Fund Index declining -0.66%.

HFRX Relative Value Index declined -0.21% from declines Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX Fixed Income Convertible Arbitrage Index declined -0.09% as volatility increased through October. The HFRX RV: Multi-Strategy Index declined -0.22% as interest rates increased in October.

HFRX Event Driven Index declined -0.47% for the month from declines in Special Situations managers and Merger Arbitrage strategies. The HFRX Special Situation Index declined -0.44% from declines in exposure to global catalyst-driven fundamental value equities. The HFRX Merger Arbitrage Index declined -0.97% as global equity markets were volatile in October.

HFRX Equity Hedge Index declined -0.64% from gains in Market Neutral strategies offset by declines in Fundamental Growth and Value strategies. The HFRX Equity Market Neutral Index gained +0.28% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Value Index declined -0.55% from declines concentrated in large-cap US and European equities. The HFRX Fundamental Growth Index declined -0.97% from declines in exposure to small-cap US and European equities.

HFRX Macro/CTA Index declined -1.75% for the month from declines in systematic trend-following managers. The HFRX Macro Systematic/CTA Index declined -3.44% as commodities saw a mixed performance and the US Dollar gained against most currencies. Rubber, coffee, and natural gas led commodity declines. Cocoa, silver, and gold led commodity gains.

Comments reference performance figures as of October 31, 2024