HFR: Hedge Funds Fall 0.87% In November

Dec 6 2011 | 12:28pm ET

Hedge funds extended their losses for the year in November, leaving almost all strategies in the red with just a month left in 2011.

October's turnaround was short-lived for the HFRX Global Hedge Fund Index, which fell 0.87% last month. The benchmark is now down 8.48% on the year; having missed out on most of October's stock-market rally, the index once again underperformed the Standard & Poor's 500 Index, which lost 0.5% last month.

Most of the strategies tracked by Hedge Fund Research for the HFRX suite also lost ground in November—and all but one are in negative territory for the year. Only multi-strategy relative value funds remain in the black in 2011, and barely, at 0.21% after a 1.06% November loss.

Meanwhile, one of November's few winners, fundamental value stock funds, which added 0.15% last month, remain the worst-performing strategy of the year, down 22.73%.

Last month's other positive performers were systematic diversified commodity trading advisers, up 1.42% (down 2.59% year-to-date), and macro funds and CTAs, up 0.3% (down 4.61% YTD). But they were vastly outnumbered by the losers.

No strategy took a bigger hit in November than distressed restructuring, which fell 2.37% (down 7.23% YTD). Fundamental growth stock funds lost 2.13% (down 12.77% YTD), market directional funds 1.38% (down 17.68% YTD), equity hedge funds 1.34% (down 18.38% YTD), relative value arbitrage funds 1.15% (down 4.11%) and convertible arbitrage funds 1.1% (down 3.38%).

Event-driven funds fell an average of 0.96% last month (down 4.36% YTD), special situations funds 0.76% (down 3.03% YTD), merger arbitrage funds 0.28% (down 2.16%) and equity market neutral funds 0.19% (down 3.1% YTD).


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Editor's Note