The October 2010 returns for investable indexes: Dow Jones/Credit Suisse Investable Indexes, Frontier Capital Multi Asset Platform Fund, Hedge Fund Research Indexes and Lyxor Alternative Index

Dow Jones Credit Suisse
The Dow Jones Credit Suisse AllHedge Index returned a positive 1.54%, continuing its rise for the year but not matching the impressive 3.26% rise in September. Only two strategies saw declines. Dedicated short bias suffered the biggest fall, dropping 4.32% while fixed income arbitrage fell a marginal 0.09%. The strongest performance came from managed futures, up 2.94% in October, followed by emerging markets rising 2.40% and convertible arbitrage up 1.85%. Event driven put in a credible 1.69% rise while equity long/short rose 1.48% and equity market neutral continued upward with a 1.45% rise for the month. The slowest performer was multi-strategy, putting in a 0.78% rise for the month.

Frontier Capital Management
The Frontier Capital Multi Asset Platform (MAP) Fund returned a positive 1.7% in October 2010 with seven of the eight asset classes showing positive returns. Commodities was the best performing asset class, up 4.9%, followed by global real estate, up 4.0% and emerging equities, rising 2.9% while emerging bonds rose 1.8% for the month. The worst performing asset classes were global bonds, down 0.1%, followed by a positive 1.4% performance by hedge funds. Global equities continue to move upward with a positive 2.8% for the month while managed futures put in a credible 2.7% rise for October. Over the five years to October 2010, the MAP strategy has generated 3.1% annualised returns with volatility of 9.5%. The Frontier Capital MAP is an investable fund tracking eight global asset class indexes using an asset allocation inspired by US university endowments such as Harvard and Yale.

HFRX
The HFRX Global Hedge Fund Index gained 1.12% in October with strength in relative value arbitrage, macro and equity hedge offsetting weakness in event driven strategies. The strongest area of contribution was from relative value arbitrage strategies as the index posted a gain of 1.68% bringing year-to-date (YTD) performance to a positive 6.52%. Performance was strong across different sub-strategy indexes. Convertible arbitrage and relative value multi-strategy exposures contributed to gains. Event driven strategies were the weakest area in an otherwise positive October, posting a decline of 0.59%, decreasing YTD performance gains to 1.42%. Gains in distressed (2.36%) and merger arbitrage (0.91%) were offset by losses in equity-sensitive special situations exposures. Special situations posted on offsetting decline of 1.05%. Equity hedge posted a gain of 1.55%, bringing YTD gains to 3.39%. Strongest contributions came from fundamental value (1.52%) and equity market neutral (0.63%). Fundamental growth strategies posted a narrow gain of 0.06% in October. Macro strategies posted a gain adding 0.97% paring a YTD decline in macro to 1.95%. Macro gains were concentrated in systematic strategies which posted a rise of 1.89%.

Lyxor
The Lyxor Global Hedge Fund Index, an investable index based on Lyxor’s hedge funds platform which tracks the overall hedge fund universe, was up 1.4% in October, lifting year-to-date (YTD) gains to 4.3%. Financial markets continued a number of September’s strong trends into October, although the price trajectories were not quite as extreme. The Lyxor Global Macro Index gained 3% on the month while the Lyxor CTA Long-Term Index gained 3.2% taking YTD returns to 10.1%. The CTA Short-Term Index posted a positive, albeit much more modest, return of 0.7%. Event driven managers lagged their macro-oriented peers. The Lyxor Merger Arbitrage Index gained 0.3%. The Special Situations Index gained 1.8% in spite of declines in many financial firm shares. The Lyxor Distressed Index lost 0.5%. The Lyxor Fixed Income Arbitrage Index lost 0.1% and the Long/Short Credit Index gained 2.2%, pushing its YTD performance to 10.6%. The Lyxor Convertible & Volatility Arbitrage Index was up 1.7% in October. The L/S Equity Long Bias Index gained 1.7% on the month while L/S Equity Variable Bias rose 1%. The Long/Short Equity Market Neutral Index was less successful posting a 0.5% decline. The Long/Short Equity Statistical Arbitrage Index gained 0.6% but is still down 1.4% on the year as managers continue to struggle with the risk on/risk off environment.