Hedge Funds Shed 1.4% In Nov., Down 17.7% In ‘08

Dec 8 2008 | 1:27am ET

The only good news for hedge funds in November is that this annus horribilis is almost over.

Hedge funds lost ground for the sixth straight month, according to Hedge Fund Research, their longest ever stretch of red ink. The HFRI Fund Weighted Composite Index fell another 1.41% in November, leaving it down 17.7% with just one month to go in 2008.

Of major strategies tracked by the HFRI indices, emerging markets funds “led” the way, shedding 3.53%. Last year’s top performing strategy is now down a stunning 35.96% on the year. Russia and Eastern Europe funds have been far-and-away the worst-performing sub-strategy, down 53.95% on the year after losing another 9.2% in November.

Equity hedge funds did much better, but that’s cold comfort for investors in the strategy: HFRI’s equity hedge index fell 2.66% last month, leaving it down 25.55% on the year. Relative value funds lost 2.4% in November (down 17.01% YTD), while event-driven funds dropped 2.25% (down 19.54% YTD).

The only major strategy in the black, both in November and year-to-date, is macro, which rose 1.67% last month and is up 4.96% on the year. Systematic diversified macro funds have had a banner year at 16.81%, after rising another 2.85% in November. Only one other strategy is in the black year-to-date: Short bias funds have left all comers in the dust as the stock markets have suffered one of the worst years in their history. The strategy is up 31.54% on the year, rising 5.48% in November. And just one other substrategy—equity market-neutral—gained ground in November, rising 0.57%, but they remain down 2.89% on the year.

Among the biggest losers in November were relative value yield alternatives funds (down 8.55% on the month, down 25.44% YTD), fixed-income convertible arbitrage funds (down 3.84%, down 34.96% YTD), distressed/restructuring funds (down 3.76%, down 20.5% YTD) and corporate fixed-income relative value funds (down 2.86%, down 20.01% YTD).

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