October was marked by a continuation of the rebound in the stock markets that began the previous month following the decision of the Fed to lower its main intervention rate by 50bps. Market volatility remained stable and the performance of the fixed-income markets was positive for the fourth consecutive month. The price of raw materials continued to reach record highs, climbing by almost 10%.

In this context, all hedge fund strategies managed to produce significantly positive returns that were well above their historical averages, especially the long/short equity (3.05%) and convertible arbitrage (1.88%) strategies, which outperformed their historical averages by 2.27% and 1.13% respectively.

CTA global managers repeated their performance of the previous month with very strong returns of 4.3%, thanks again to the extremely high prices of raw materials and the good health of the fixed-income markets. The equity-orientated strategies (event driven, long/short equity
and equity market neutral) took advantage of the solid performance of the stock markets and undoubtedly profited from economic conditions.

The poorest performing strategy for the month was equity market neutral, with an October return of 1.53%. The best performance came from the CTA global strategy (4.3%).

Fabrice Tahar is a research analyst with the EDHEC Risk and Asset Management Research Centre