RBC Hedge 250 Index Sheds 2.92% In 2011

Jan 13 2012 | 12:53pm ET

Preliminary results show the RBC Hedge 250 Index down 0.37% for December and 2.92% for 2011.

The December decline is almost identical to November’s 0.34% loss.

Fixed income arbitrage funds were one of a very few bright spots this past month, adding 0.65% to end the year up 7.38%. Managed futures strategies also ended December in the black, up 0.56%, but were the worst performers of the full year, losing 8.02%. Multi-strategy funds stayed flat, adding 0.03% in December but ended the year down 1.84%.

The biggest losers in December were macro, mergers and special situations and equity long/short funds, losing down 0.78%, 0.77% and 0.76%, respectively. For the full year, macro funds were down 0.34% and equity long/short funds down 4.23% while mergers and special situations was one of the worst performers of the year, losing 7.50%

Convertible arbitrage strategies fell 0.18% to end the year with a loss of 3.04% while equity market neutral funds shed 0.66% for a final loss of 0.34%.

Credit funds shed 0.12% in December and were down 0.47% for the year.

The RBC Hedge 250 Index is a non-investable benchmark of the performance of the hedge fund industry based on a universe of 4,172 hedge funds (excluding funds of hedge funds) with aggregate assets under management of $1.005 trillion.


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