November Could Be Worse Than August, HFR Says

Dec 3 2007 | 7:42am ET

It scarcely seems possible, but last month may have been worse for hedge funds than subprime-scarred August, according to early figures from Hedge Fund Research.

Investable hedge funds on average lost 2.78% in the first 28 days of November. While overall hedge fund indices tend to outperform the investable universe, the returns indicate that hedge funds could suffer their second decline of more than 2% this year. If they do, August and November 2007 would be the only two such months recorded by HFR since April 2000.

The worst-performing strategy last month was long/short equity, which declined 4.34%, followed by event-driven funds, which were down 3.67%. Convertible arbitrage funds fell 2.84%.

All investable hedge fund strategies tracked by HFR were in negative territory, with the strongest result coming from distressed debt funds, which lost a mere 0.56%.


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