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Bloomberg Hedge Fund Indices Flat In October

November 10, 2009

Hedge funds were relatively flat in October, with the Bloomberg Aggregate Hedge Fund Index up a mere 0.1% for the month (12.81% YTD).

Meanwhile, the Bloomberg Emerging Market Equities Strategy was the best performer in October, up 2.4% from the previous month. Managers shorting the dollar and holding long positions in emerging markets stocks posted an average gain of 18%. Managers with this strategy are up 40% YTD, while the MSCI EM (Emerging Markets) Index is besting that figure and is up 64.31%.

And the worst performers? CTA/Managed Futures programs tanked in October, finishing down -5%.

Finally, the Bloomberg Aggregate Fund of Hedge Funds index performed slightly better than the overall hedge fund universe, up 0.6% in October and 8.2% YTD.

The S&P 500 and the Dow Jones Industrial Average are up 17.06% YTD and 10.68%, respectively.

Bloomberg currently tracks 5,727 hedge funds and 4,904 funds of hedge funds.

Bloomberg Hedge Fund Indices

Strategy Indices

 Oct. YTD 1 YR 3 YR
Aggregate Hedge Fund 0.1 12.8 12.5 -0.4
Aggregate Fund of Hedge Fund 0.6 8.2 5.9 2.2
Emerging Market Equity 2.4 40.4 30.7 -4.1
Fixed Income 1.7 34.7 33.4 10.7
Convertible Arbitrage 1.4 24.4 22.5 2.5
Equity Statistical Arbitrage 1.3 14.7 19.1 9.7
Multi Style 1.0 12.6 21.5 7.0
Emerging Market Debt 0.8 22.8 19.9 7.1
Macro 0.8 9.8 12.6 12.5
Fixed Income Arbitrage 0.7 6.7 2.1 -3.1
Long/Short Equity 0.4 9.8 12.8 -2.5
Capital Structure/Credit Arb. 0.4 30.9 21.4 -1.9
Distressed Securities 0.3 12.4 5.8 -1.5
Equity Fundamental Mkt. Neutral 0.3 19.4 17.4 7.1
Asset Backed 0.2 -3.8 -6.0 -1.7
Merger Arbitrage 0.2 20.6 20.9 7.1
Mortgage Backed Arbitrage 0.1 34.0 23.3 11.2
Short Bias Equity -0.2 -2.2 1.2 8.5
Long Bias Equity -2.2 27.1 22.8 1.0
CTA/Managed Futures -5.0 -1.3 3.0 8.4
* Source: Bloomberg
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