NEW YORK (HedgeWorld.com)–The CSFB/Tremont Hedge Fund Index rose 1.38% in October and returned 12.02% in the year-to-date period through October.
As an asset-weighted index, the broader CSFB/Tremont index got a big boost from the popular style long/short equity. Long/short equity funds in the index returned 2.46% in the month and are up 12.62% year-to-date through October.
Also performing well in October were emerging markets hedge funds, which returned 2.25% in the monthly period and 22.89% in the first 10 months of the year.
The CSFB/Tremont convertible arbitrage category returned 1.67% in October and rose 10.72% year-to-date.
Multi-strategy hedge funds tracked by CSFB/Tremont returned 1.21% in October and were up a strong 11.45% in 2003.
The event-driven hedge fund category was up 1.53% in October and 16.85% year-to-date. The strong returns came in part from distressed funds, which returned 1.98% in October and 21.52% in the first 10 months of 2003. Multi-strategy event-driven funds returned 1.1% and 14.16% in the same respective periods. But the risk arbitrage category, also known as merger arbitrage, did well in October following mediocre performance the rest of the year. In October, risk arbitrage returned 1.21% and is up 7.44% during the year through October.
Managed futures hedge funds returned 0.78% in October and were up 7.69% year-to-date through October.
Equity market neutral funds returned 0.67% and 5.73% in the same respective periods.
Fixed-income arbitrage funds aren’t having a great year, with October’s performance clocking in at 0.46%, while year-to-date performance is 6.55%.
Despite tepid returns in October of 0.09%, global macro hedge funds maintained healthy performance for the year, with a year-to-date return of 15.21%.
And amid the continuing bull market in U.S. equities, dedicated short-bias funds returned negative 7.56% in October and were down 28.45% in the first 10 months of the year.
Traditional investments also performed well in October. The Standard & Poor’s 500 stock index returned 5.66% in October and 21.21% in the year-to-date period through October. MSCI EAFE, in U.S. dollars, returned 6.24% and 26.25% in the same respective periods. The Lehman Brothers Aggregate U.S. Index fell 0.93% in October and returned 2.81% year-to-date.
Changes were made to the CSFB/Tremont Hedge Fund index in October. Nine funds were added to the Index in October. They are: Gramercy Emerging Markets Fund; SSI Blended Market Neutral LP; SSI Long/Short Equity Market Neutral LP; Julius Baer Diversified Fixed Income Hedge Fund; III Relative Value/Macro Fund; FrontPoint Utility and Energy Fund; Imperium Market Neutral Fund LP; Quest Capital Partners LP; and BBVA & Partners Equity Arbitrage Master Ltd., according to CSFB Tremont.
Dropped from the index were: Brookdale International Partners, which is no longer reporting; Quaestor GlobalNeutral, which is liquidating; and Thesis Fund Ltd. (Class A), which merged into a new entity.
Investable Index Returns
CSFB Tremont also reported returns for its investable hedge fund index, which returned 0.99% in October and is up 9.33% year-to-date.
Among the investable index sub-categories, long/short equity performed best with a return of 2.95%, bringing its year-to-date returns to 14.31%. Investable convertible arb funds returned 2.13%, bringing 2003 performance through October to 11.48%.
The Investable Emerging Markets index returned 1.9% in October and 26.39% year-to-date through October. Investable event-driven funds returned 1.21% and 13.79%, while investable equity market neutral funds returned 0.81% and 4.56%, in the same respective periods.
The Investable Multi-Strategy index returned 0.57% in October and 6.88% year-to-date through October. The Investable Global Macro index returned 0.55% in October and is up 13.71% for the year.
Investable fixed-income arbitrage funds returned 0.23% in October and 4.11% year-to-date. Investable managed futures also returned 0.23% in October but were up 6.86% year-to-date through October.
Investable short bias funds returned -7.94% and -27.16% in the same respective periods.