Dow Jones Credit Suisse Hedge Fund Index Down 0.79% In Nov.

Dec 15 2011 | 1:24pm ET

The Dow Jones Credit Suisse Hedge Fund Index was down 0.79% in November 2011, putting it down 2.31% YTD.

Only three strategies tracked by the index ended the month in the black, and those just barely. They were fixed income arbitrage, up 0.50% in November (and 4.29% YTD); managed futures, up 0.18% in November (down 4.94% YTD); and equity market neutral, up 0.09% in November (and 5.00% YTD).

The biggest loser in November was emerging markets, down 2.69% (and 6.03% YTD), followed by long/short equity, down 1.48% in November (and 6.48% YTD); and distressed, down 1.20% in November (and 4.19% YTD).

Also in the red were convertible arbitrage (down 0.60% for the month), dedicated short bias (down 0.17%), event driven (down 1.05%), event driven multi-strategy (down 0.97%), risk arbitrage (down 0.27%), global macro (down 0.03%) and multi-strategy (down 0.89%).

Year to date, the worst performing strategies, according to the Dow Jones Credit Suisse Index, are event driven multi-strategy (down 10.85%), event driven (down 8.35%) and long/short equity (down 6.48%, as noted above).


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Editor's Note