Hedge Funds Hammered In Sept., Down More Than 4%

Oct 6 2011 | 1:26pm ET

If August was a bad month for hedge funds—and it was, the worst in almost three years by some measures—September was a disaster, according to one widely-followed industry benchmark.

The Dow Jones Credit Suisse Core Hedge Fund Index dropped 4.23% last month. The index, already nursing a 2.88% loss from August's market volatility, is now down 7.84% on the year.

Long/short equity and event-driven funds were hardest hit, dropping 6.13% (down 9.16%) and 5.71% (down 13.32%), respectively, last month. Global macro funds fell an average of 5.13% (down 10.78% YTD).

"In the event driven space, losses mainly stemmed from relatively concentrated long equity positions related to special situations, while global macro managers declined following sharp reversals in precious metals, such as gold which posted its worst monthly loss since 1983," Oliver Schupp, president of the Credit Suisse Index Co., said. "Compared to the year-to-date drop of 15.36% for the Dow Jones Global Index, hedge funds have provided some level of capital preservation to date this year, however, all strategies appear to be feeling the pain with market uncertainty at an all time high."

Emerging markets funds dropped 2.87% in September (down 2.83% YTD), convertible arbitrage funds 2.64% (down 6.15% YTD), fixed-income arbitrage funds 1.5% (down 0.17% YTD) and managed futures funds 0.14% (down 0.11% YTD).

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