S&P: Hedge Fund October Performance Up Slightly

November 3, 2004 (PLANSPONSOR.com) - Standard & Poor's reported that October hedge fund performance, as measured by the S&P Hedge Fund Index, was up 0.72% for the month, led by strong showings from both directional and event-driven managers.

According to a news release, the S&P Directional/Tactical Index composed of Equity Long/Short, Managed Futures, and Macro managers ended October up 1.45%. Managed Futures, the top performing strategy this month, saw many managers returning to positive territory after an extended drawdown earlier in the year.

Returns were helped by several strong trends, including those of rising crude and natural gas prices, the weakening of the US Dollar against the Swiss Franc, Japanese Yen and Euro, and declining government bond yields, S&P said. The representative S&P Managed Futures Index, composed of 14 managers, returned 5.56%. Hedged equity strategies, as reflected by the S&P Equity Long/Short Index, finished the month up 0.50%.

The S&P Arbitrage Index ended October down 0.13% as returns in the Equity Market Neutral strategy continued to hold down performance in this style. Meanwhile Fixed Income registered strong returns in October. The Convertible Arbitrage sector ended the month off a bit, as returns have become more sensitive to issuer specific moves with low equity volatility and little movement in credit spreads.

The S&P Event Driven Index returned 0.86% for the month as all three of the supporting sectors landed in positive territory. Distressed and Special Situations both benefited from positive reevaluation of a number of energy and industrial companies on the back of increasing worldwide demand for their products, S&P said. Merger Arbitrage had slight gains on favorable spread movement in some service sector stocks.