The October returns for investable indexes, including Credit Suisse/Tremont Hedge Fund Index, Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Greenwich Investable Indexes, Hedge Fund Research Indexes and Lyxor Alternative Indexes.

Investable index returns October 2009

CSFB Tremont Investable Indexes October returns
After its strongest quarterly return in 10 years with 7.3% for the third quarter, the Credit Suisse/Tremont Hedge Fund Index performance was more muted in October, rising 0.13%. Year to date (YTD) the index is up 15.11%. Dedicated short bias strategy gained the most in the month, posting 4.8% for its first positive monthly performance since February. Relative value strategies such as convertible arbitrage (2.2%) and fixed-income arbitrage (1.9%) were the other strong performers for the month. October’s negative performers were managed futures (-2.17%) long/short equity (-1.21%) and equity market neutral
(-0.35%). YTD convertible arbitrage continues to be the strongest strategy (up 42.99%).

Dow Jones Investable Indexes October returns
The Dow Jones Investable Indexes had a weak October, with two strategies posting negative returns. Equity market neutral has recorded negative returns for three successive months and was down 0.4% in October and 5.7% YTD. Long/short equity was also down in October by 1.7% but is maintaining positive returns of 2.12% YTD. Merger arbitrage (0.13%) and event driven (1.11%) made positive returns in October. Event driven continues to be the outstanding performer in the index, up 13.4% YTD.

Frontier Capital Management MAP Fund vs Indexes October returns
The Frontier Capital Multi Asset Platform (MAP) Fund was down 0.2% in October 2009, with three of the eight asset classes showing positive returns. Commodities (4.6%), emerging equities (0.1%) and emerging bonds (0.1%) were the best performing asset classes. The worst performing asset class was global real estate (-2.6%), followed by global equities (-2.3%). Over the five years to October 2009, the MAP strategy has generated 3.2% annualised returns with volatility of 9.3%. The MAP Fund is an investable fund tracking eight global asset class indexes, using an asset allocation inspired by US university endowments such as Harvard and Yale.

Greenwich Investable Indexes October returns
Estimated returns for October for the Greenwich Global Hedge Fund Index (GGHFI) showed a difficult month for all strategies. The GGHFI was down 0.5%, with positive returns of 16.1% YTD. The Greenwich Investable Index was also down 0.5% for the month but with a weaker YTD performance of 3.4%. The speciality strategies group index was the only group to post a positive return, scraping in with 0.2% thanks to solid returns from emerging markets and fixed income. The long/short equity and directional trading group indexes were both down 0.7% for October, although long/short equity recorded a 9.5% return YTD. Short selling reversed its previous poor performances to post 2% in October, although the strategy is down 13.4% YTD. The market neutral group was also down in October by 0.3%.

HFRX Indexes October returns
The HFRX Global Hedge Fund Index was down by 0.06% in October, dropping YTD performance to 10.93%. A number of strategies in the index had negative months, including equity hedge (-1.51%), macro (-1.33%) and event driven (-0.03%). Other strategies scraped into positive returns. Equity market neutral (0.48%), merger arbitrage (0.58%) and distressed securities (0.59%) put in positive performances. Relative value was the month’s best performer, up 2.39% in October and 33.68% YTD. Convertible arbitrage was just behind, up 2.34% for the month with the best YTD return of 40.49%.

Lyxor Alternative Indexes Dashboard October returns
The Lyxor Global Hedge Fund index was down 1% in October but has posted YTD returns of 4.4%. Long/short equity managers were hit by the broad market reversal, with variable bias managers being most hit (-1.8%). Long bias had a more modest loss of 1.4%. Market neutral managers (0.4%) and statistical arbitrage (0.8%) were the outliers. Event-driven managers had a mixed performance in October. Merger arbitrage managers were slightly down (-0.3%) while special situations managers gave back some of the previous gains (-2.2%). Bond-related strategies posted positive performances. Convertible and volatility arbitrage managers continued their impressive run, albeit more moderately, with a 0.4% gain. Long/short credit funds benefited from bond spread-tightening dynamics, with a 4.5% gain.