Hedge Fund Indices Post Positive Returns in October

November 15, 2004 (PLANSPONSOR.com) - Hedge funds indices showed positive returns in October, with CSFB/Tremont reporting that its major hedge fund index was up 1.28% on the month.

Managed futures performed the best of all strategies, posting 4.82% returns in October. The year-to-date performance was not nearly as good, however, with a 0.59% loss seen overall. Emerging markets also performed well in October, posting 2.40% returns. Dedicated short bias performed the worst, posting losses of 1.78%.

Year-to-date performance for the CSFB/Tremont Index was well above the returns of the Dow Jones Industrial Index, with a 5.12% return seen with the hedge fund index. The Dow is down 2.48% since January. By strategy, event-driven distressed has performed the best since January, posting returns of 10.48%.

In the CSFB/Tremont Sector Invest Indices, it was no surprise that managed futures again showed the largest growth (5.37%), while dedicated short bias performed the worst (-1.64%).

The CSFB/Tremont Investable Index was also up, posting returns of 1.41% in October. Investable managed futures performed the best (+5.27%), while investable dedicated short bias performed the worst (-1.63). Since the beginning of the year, the investable index has seen returns of 2.40%.

CSFB/Tremont attributed the overall decline in the price of oil during October for the market’s growth. Dedicated short bias was hard hit by the market upturn, according to a company press release, but managed futures were generally aided by the growth.

The MSCI Hedge Fund Composite Index also showed good returns, although its 0.8% growth was below that of the CSFB/Tremont Index. This equally-weighted index had higher returns in September, posting growth of 1.2%. Year to date, the MSCI index is up 2.8%.   By process group, directional trading had the largest returns (2.1%), while relative value performed the worst (-0.1%).