Big October Still Has Hedge Funds In S&P’s Dust

Nov 6 2006 | 12:17pm ET

Hedge fund had their best month since the beginning of the year in October, according to the MSCI Hedge Invest Index.

The index returned 1.78% last month, the highest monthly return of 2006 save for January, when it was up 2.29%. Still, it trailed the Standard & Poor’s 500 (up 3.15%) for the month and continues to lag for the year, at 5.13% to the S&P500’s 10.13% year-to-date return.

Discretionary trading and long-bias were the top performers on the month, both returned 2.32%, but that is where the similarity ends. Long-bias is the MSCI index’s top strategy this year, with a 7.5% YTD return, while discretionary trading is its second-worst, at 3.11% YTD. Other strong strategies in October were variable bias (2.29%, 6.36% YTD) and fixed-income (2.13%, 4.19% YTD).

Other strategies were not so lucky, but the rising tide did lift all boats last month. Each of MSCI’s strategy sub-indices finished the month up, compared to September, when only three managed positive returns. The laggards were convertible arbitrage (0.48%, 7.03% YTD) and systematic trading (0.76%, 2.08% YTD).


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