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In this paper we prove that, after an appropriate rescaling, the sum of moments of an N × N Hermitian matrix H sampled according to the generalized Cauchy (also known as Hua–Pickrell) ensemble with parameter s > 0 is a continuous-Hahn polynomial in the variable k. This completes the picture of the investigation that began in (Cunden et al 2019 Commun. Math. Phys. 369 1091–45) where analogous results were obtained for the other three classical ensembles of random matrices, the Gaussian, the Laguerre and Jacobi. Our strategy of proof is somewhat different from the one in (Cunden et al 2019 Commun. Math. Phys. 369 1091–45) due to the fact that the generalized Cauchy is the only classical ensemble which has a finite number of integer moments. Our arguments also apply, with straightforward modifications, to the other three cases studied in (Cunden et al 2019 Commun. Math. Phys. 369 1091–45) as well. We finally obtain a differential equation for the one-point density function of the eigenvalue distribution of this ensemble and establish the large N asymptotics of the moments. [ABSTRACT FROM AUTHOR]