Hedge fund strategies ride out stock market fall

Convertible arbitrage rode out the poor October performance of risky bonds to return 1.26%, according to the latest set of alternative indexes from Edhec.

The indexes showed convertible arbitrage posted a return of 45.2% for the year to date (YTD) despite October's return to volatility with the first stock market fall since February 2009.

However, long/short equity dropping by 0.94% and equity market neutral strategies fell 0.12%. Both suffered with the fall of the stock market.

Global macro  fell slightly (0.04%) for October although the strategy  recorded a solid 8.9%  YTD.

Fixed income registered a tenth month of profitability, up 1.94%, nearing its highest level from October 1997.

While short selling had a negative return of 15.3% YTD, it produced the strongest performance in October of 3.4%.

Fund of hedge funds (FoHFs) fell 0.05%. Despite this they outperformed the stock market which fell 1.86% in the month.

Edhec alternative indexes - overview October 2009

* Cumulative return since January 1st of the current year. Source: Edhec