In a month when global public equities fell 7.5%, hedge funds, as measured by the HFRI Fund-Weighted Composite index, fell 3%. Year-to-date, global public equities were down about 4% through Oct. 31, while the hedge fund index was down 1.66%. U.S. equities fared slightly better in October, as the S&P 500 declined 6.8% on a total return basis, but was still up 3% year-to-date. Equity-hedge strategies fell 4.25% during the month, the most relative to the other major hedge fund subcategories. The subset has historically been the most correlated to equities.
Year-to-date, only the event-driven and relative value indexes were in the black through October, with returns of 0.58% and 1.81%, respectively.
A look at historical performance shows that the broad hedge fund index captures about 47% of the equity market's upside and 59% of its downside. Equity hedge strategies benefit the most from up markets, capturing 96% of gains.