Greenwich Index: Hedge Funds Drop 1.1% In Nov.

Dec 9 2011 | 11:04am ET

Hedge funds reversed course in November, giving back a significant chunk of the gains won in October and leaving themselves facing a likely down 2011.

The Greenwich Global Hedge Fund Index fell 1.1% last month and is now down 4.1% on the year. The benchmark had turned in a 2.4% return in October, giving rise to hopes that the industry had turned a corner.

Long/short equity funds were hardest hit on the month, especially growth funds. Overall, long/short funds lost 2.4% (down 8% year-to-date), with growth funds down 3.6% (down 10% YTD). Short-biased funds, on the other hand, rose 1% to return to the black at 0.4% on the year.

Only a handful of strategies or substrategies managed to avoid the red in November. Non-convertible and fixed-income arbitrage funds jumped 1.9% (down 0.3% YTD), while convertible funds fell 0.3% (down 0.4% YTD) and fixed-income funds 1.2% (up 2.2% YTD). Long/short credit funds added 0.4% (4.5% YTD), merger arbitrage and futures funds added 0.2% (up 2.1% and down 2.7% YTD, respectively) and macro funds are flat (down 0.4% YTD).

On the other side, distressed securities fell 2.2% (down 3.4% YTD), opportunistic funds 2.1% (down 7.4% YTD), value funds 1.9% (down 7.3% YTD) and multi-strategy funds 1.3% (down 3.7% YTD).

Emerging markets funds also did extremely badly, falling 4.5% (down 13% YTD). Emerging markets in the Americas were the primary victim, falling 6.6% (down 10.3% YTD), but those in Europe and Asia didn't do much better and are actually doing much worse for the year: The former fell 4.8% (down 19.1% YTD) and the latter 4.6% (down 15.7% YTD). Among developed markets, Americas funds were flat (down 0.8% YTD), European funds fell 1.1% (down 5.6% YTD) and Asia funds fell 2.5% (down 7.3% YTD).


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Editor's Note