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US treasury yields were little changed through mid-month as the US$ declined against the Euro, British Pound Sterling, Swiss Franc and Russian Rouble; European yields posted narrow declines. Hedge funds posted gains through mid-October with the HFRX Global Hedge Fund Index posted a gain of +0.91% while the HFRX Market Directional Index gained +4.96% through mid-month.

HFRX Event Driven Index posted a gain of +2.24% through mid-October, as equities experienced broad gains while high yield credit tightened. The HFRX Special Situations Index gained 2.83% for the period from core positioning in Altera, Delta, Fiat Chrysler, Time Warner and Ferro. The HFRX Merger Arbitrage Index gained +0.86% through mid-October from exposures to City National/RBC, Merck/Sigma-Aldrich, IBM/Merge Healthcare and FNB/Virginia Financial transactions. The HFRX Distressed Index posted a gain of +0.45% from exposure to the Cyclical, Energy and Communications sectors.

HFRX Equity Hedge Index gained +1.09% through mid-October as global equity markets partially recovered from prior month losses. The HFRX Fundamental Value Index gained +1.85% from exposure to large-cap US Consumer, Technology and Communication sectors. The HFRX Market Neutral Index posted a decline of -0.15% from mixed performance in mean reverting, factor based strategies and fundamental managers.

HFRX Relative Value Arbitrage Index posted a gain of +1.28% through mid-October, as Treasury yields were little changed while high yield credit spreads tightened, with the HFRX Multi-Strategy Index gaining +1.11% for the period, with gains concentrated in Technology, Industrial and Financial sectors. The HFRX Convertible Arbitrage Index posted a gain of +0.77%, as gains in credit and gamma positions were partially offset by declines in implied volatility. RV: Yield-Alternative – Energy Infrastructure experienced strong gains reversing prior months declines as the HFRX MLP Index gained +12.07 percent through mid-Oct.

HFRX Macro/CTA Index posted a decline of -1.81% through mid-October, from declines in quantitative, trend-following, systematic CTAs, Global Discretionary and Fixed Income strategies. The HFRX Macro Systematic Diversified/CTA Index declined -2.20% through mid-month as Commodities experienced sharp reversals and the US Dollar declined against major currencies.