RBC: Hedge Funds Lose 1.5% In November

Dec 17 2008 | 1:50am ET

The RBC Hedge 250 Index shed a further 1.5% last month, a substantial improvement on October but, given year-to-date losses of 20.18%, cold comfort indeed.

Performance was almost uniformly better in November over October across the RBC strategy subindices. Event-driven credit was the worst-performing subindex last month, dropping 4.88% (down 31.27% year-to-date), followed by convertible arbitrage, which fell 3.8% (down 35.35% YTD). Multi-strategy funds lost 2.67% (down 32.21% YTD) and mergers and special situations funds fell 2.26% (down 23.34% YTD).

Just three of the nine subindices were in the black last month. Managed futures solidified its place as the year’s top-performing strategy in the RBC index, adding 3.17% (up 15.42% YTD). Fixed-income arbitrage and equity-market neutral also posted positive returns, rising 0.7% (down 20.3% YTD) and 0.19% (down 3.9% YTD), respectively.

RBC Capital Management did not mention how, if at all, the Bernard Madoff scandal affected the index or its subindices.


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