10/31/2023 Performance Notes

In October, global financial markets declined as geopolitical risk spiked and uncertainty remained high regarding inflation, higher rates, and economic growth. Small-caps and technology led global equity market declines, while the UK, Hong Kong, and Korea led regional declines. US interest rates continued to rise as inflationary pressures remained salient; the US Dollar saw mixed performance and marginally changed against most currencies. Commodities were mixed with Oil and Lean Hogs leading declines, while Natural Gas and Gold led gains.
Hedge Funds posted mixed performance in October led by Macro strategies, with the HFRX Global Hedge Fund Index declining -0.82% for the month.
HFRX Macro/CTA Index posted a gain of 0.29% for the month led by gains in systematic trend-following managers. The HFRX Macro Systematic/CTA Index gained +0.60% in October as the US Dollar showed little change against most currencies. Commodity performance was mixed with Natural Gas and Gold leading gains, while Oil, Lean Hogs, and Cotton led declines.
HFRX Equity Hedge Index declined -0.92% for October with gains in Market Neutral strategies offset by declines in Fundamental Growth and Value strategies. The HFRX Market Neutral Index gained +0.42% from gains in mean reverting, factor-based strategies. The HFRX Fundamental Value Index declined -0.26% from declines in exposure to large-cap US and European equities. The HFRX Fundamental Growth Index declined -2.39% from declines seen in small-cap US and European equities.
HFRX Relative Value Index declines -1.05% for the month from declines in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX RV: Multi-Strategy Index declines -0.87% as US interest rates continued to rise. The HFRX Convertible Arbitrage Index declined -3.00% as volatility fell in October.
HFRX Event Driven Index declined -1.18% from declines in Special Situations equity strategies and Merger Arbitrage strategies. The HFRX Special Situations Index declined -1.18% for the month from declines in exposure to global catalyst-driven, fundamental value equites. The HFRX Merger Arbitrage Index declined -1.22% as global equities saw a decline across geographies and sectors in October.
Comments reference performance figures as of October 31, 2023