Replication Index Takes A Hit

Dec 6 2011 | 11:26am ET

Hedge funds took a dive in November, according to one set of industry replication indices.

IndexIQ's IQ Hedge Composite Beta Index lost 1.43% last month, more than most hedge fund indices that have reported their November numbers. On the other hand, the replicator is down much less than many of those indices year-to-date with just a 2.15% decline in 2011.

All six of the strategies tracked by IndexIQ's beta suite were in the red. Emerging markets lost 3.34% (down 11.1% YTD), fixed-income arbitrage lost 1.48% (down 1.66% YTD), global macro lost 1.25% (up 6.54% YTD) and long/short lost 1.08% (down 3.55% YTD).

The Event-Driven Beta Index fell 0.95% on the month (down 1.71% YTD) and the market neutral index 0.51% (down 1.3% YTD).

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Editor's Note