Convertible Arbitrage Battered In Sept., All Strats. Lose

Oct 15 2008 | 12:33pm ET

Barring a major turnaround in the next three months, there won’t be much to cheer about in hedge fund land. Just three of the 13 strategies tracked by the Credit Suisse Index Co. are in positive ground for the year; all lost ground last month, one of the worst in the history of the hedge fund industry.

Overall, the Credit Suisse/Tremont Hedge Fund Index is down 9.87% on the year after dropping 6.55% last month.

The worst-performing strategy by far is convertible arbitrage, which plummeted 12.26% in September, leaving the strategy down 19.45% on year. Other dismal performances were turned in by emerging markets funds (down 8.93%, up 18.07% year-to-date), long/short equity funds (down 7.81%, down 13.28% YTD), fixed-income arbitrage funds (down 6.8%, down 11.57% YTD) and global macro funds (down 6.63%, down 2.07% YTD).

Managed futures funds are up 6.7% on the year after shedding 0.57% last month, the best performance of any CS index. Dedicated short bias and equity market-neutral funds are also up in 2008, at 3.4% (down 6.08% in September) and 1.67% (down 1.41% in September), respectively.


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