The CSFB/Tremont Hedge Fund Index is up 1.28% for October 2004.
“Benefiting largely from the FX market through short positions on the US Dollar, the Managed Futures sector reported a positive return of 4.82%,” , according to Oliver Schupp, President of Credit Suisse First Boston Tremont Index LLC. “This strategy is dominated by trend-following systems and most trend following managers generated positive performance for the month. The actively traded currencies had generally been trading in a relatively confined range for the past four to six months and finally broke out of the range strongly in October.”
“Markets shared similar patterns in October, with many of the major world indices climbing in the early days of the month, only to face steady declines in the subsequent weeks as oil prices hit new highs and the markets embraced uncertainties,” said Robert I. Schulman, Co-Chief Executive Officer of Tremont Capital Management, Inc. “The pattern reversed later in October, as the markets shifted into an upturn and climbed steadily through the last days of the month as China raised interest rates, oil prices declined sharply, the regulatory concerns in the insurance industry calmed down somewhat and US equity markets entered into a pre-election rally. The Dedicated Short Bias sector was generally hurt by this market upturn, reporting a return of negative 1.78%.”