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Alternative Market Briefing

Quantitative CTA hedge funds top gainers in October as industry posts strongest return since July 2016

Wednesday, November 08, 2017

Komfie Manalo, Opalesque Asia:

Quantitative CTA strategies, complemented by equity and fixed income strategies helped push hedge funds to a strong finish in October, allowing the HFRI to post its twelfth consecutive positive months and the strongest return since July 2016, Hedge Fund Research said in its monthly report.

The HFRI Fund Weighted Composite Index (FWC) climbed +1.3% in October, increasing the YTD gain to +7.2% and extending the record Index Value to 13,885. Risk Parity strategies also saw strong performance across all volatility target levels in the month.

"Quantitative, trend-following strategies surged in October, driven by contributions across all major asset classes including equities, commodities, fixed income and currencies, as these reversed what had been a challenging environment not only in 2017, but also in the prior two years," stated Kenneth J. Heinz, President of HFR.

Industry-wide hedge fund gains were led by quantitative, trend-following macro CTA strategies, as the HFRI Macro: Systematic Diversified Index surged +4.0% for the period, the strongest monthly return since January 2015. Prior to October, CTA strategies had experienced mixed performance over an intermediate timeframe, with the Index having lost -2.3% YTD entering October and having posted narrow declines in each of the prior two calendar years. The October gain brings YTD performance t......................

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