HFRI Index Down 0.92% In Nov.

Dec 8 2011 | 11:47am ET

November was an ugly month across the board for hedge funds, which lost an average of 0.92% over the 11th month's 30 days.

"Hedge funds posted declines and mixed strategy performance in November, with most of the month dominated by uncertainty on a resolution of the European sovereign debt crisis raising questions with investors about possible adjustment to the euro currency," stated Kenneth Heinz, Hedge Fund Research's president. "In the current environment, funds are maintaining flexible, hedged and opportunistic positions across asset classes, balancing their core micro portfolio holdings with informed macro themes, while continuing to expect and anticipate directional volatility."

The HFRI Fund Weighted Composite Index is down 4.37% through the year's first 11 months. All but four of the myriad strategies and substrategies tracked by the suite of benchmarks hit the skids in November. Those spared the carnage were fixed-income asset-backed relative-value funds, up 1.51% (6.72% year-to-date); short-bias funds, up 1.11% (0.2% YTD); quantitative direction funds, up 0.58% (down 5.31% YTD); and merger arbitrage funds, up 0.21% (1.47% YTD).

The much, much more numerous losers were led last month by Asia ex-Japan funds, which shed 4.3% (down 15.57% YTD, also worst among HFRI subindices). In fact, emerging markets funds generally did terribly in November, down 3.13% (down 11.31% YTD), with Latin America funds shedding 3.67% (down 10.2% YTD), Russia and Eastern Europe funds 2.6% (down 11.58% YTD) and global funds 2.1% (down 7.52% YTD).

Among other strategies, energy and basic materials funds were especially hard-hit, falling 2.48% (down 13.56% YTD). Equity hedge funds lost 1.6% (down 7.1% YTD), distressed and restructuring funds 1.35% (down 3.23% YTD) and convertible arbitrage funds 1.31% (down 5.1% YTD).

Other major strategies were also in the red. event-driven fell 0.65% (down 2.45% YTD), macro fell 0.35% (down 3.47% YTD), equity-market neutral fell 0.21% (down 2.45% YTD) and relative value fell 0.15% (up 0.41% YTD).

Funds of hedge funds lost 0.71% on the month to extend their 2011 losses to 4.92%.


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