Hedge Funds Falter In November, Lyxor Index Shows

Dec 7 2010 | 1:05am ET

Hedge funds took a hit last month and find themselves well behind the broader markets on the year, according to Lyxor Asset Management's industry benchmarks.

The Lyxor Hedge Fund Index shed 0.78% in November and is up just 3.49% on the year. By contrast, the Standard & Poor's 500 Index is up 7.86% after a mostly flat month.

Not for the first time this year, short-bias hedge funds brought up the rear in November, plummeting 4.53%. The strategy is the only one tracked by Lyxor in double-digits—either up or down—this year, and in the case of short-bias it is down a whopping 21.54%.

Long-term commodity trading advisers also had a tough month, dropping 2.36% (up 7.53% year-to-date). Short-termers didn't do much better, losing 1.96% (down 0.85% YTD). Long/short credit arbitrage funds fell 1.24% on the month (up 9.22% YTD), merger arbitrage 1.06% (up 4.46% YTD), global macro 0.99% (up 3.84% YTD) and equity market neutral 0.63% (up 0.51% YTD).

The winners were led by distressed securities funds, which enjoyed an average return of 1.17% in November (4.72% YTD). No other strategy was up more than 1%, with fixed-income arbitrage registering at 0.78% (9.88% YTD), long-bias at 0.45% (3.38% YTD), convertible and volatility arbitrage at 0.4% (4.21% YTD), and special situations at 0.13% (5.39% YTD).

Meanwhile, the Lipper Hedge Fund Composite Index has taken the opportunity to remind everyone that October was a much, much better month. That index rose 1.8% that month and is up 5.13% through the first 10 months of the year.


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Editor's Note