Most Hedge Strategies Rally, Short-Sellers Torched

Dec 18 2006 | 12:06pm ET

Hedge funds are rallying at the end of the year, and though double-digit-returns are in sight, alpha is going to be awfully elusive.

A quartet of hedge fund indices showed a strong November for hedge funds, and a good one for investable hedge funds. The Credit Suisse/Tremont Hedge Fund Index rose an estimated 2.07% on the month (11.81% year-to-date) and the newly-rechristened Greenwich Global Hedge Fund Index (the former Greenwich-Van) returned 2.04% (10.54% YTD). Meanwhile, the RBC Hedge 250 Index, an investable benchmark, was up 1.6% in November (9.10% YTD) and the Credit Suisse/Tremont Investable Hedge Fund Index rose 1.3% (7.84% YTD).

The Standard & Poor’s 500 Index rose 1.65% in November to hit 12.2% YTD.

“Overall positive trends in the global equity markets continued to bolster the performance of the majority of hedge fund sectors,” Credit Suisse Tremont President Oliver Schupp said.

Top strategies in November include emerging strategies (up 4.18% in November and 18.4% YTD in the Greenwich index), global opportunistic (3.73% in November and 12.9% YTD in the Greenwich index), emerging markets (3.15% in November and 17.16% YTD, and 3.9% and 20.92% YTD, in the CS/Tremont and CS/Tremont Investable indices, respectively) and managed futures (ranging from 2.22% to 2.74% in the indices for November, and from 3.85% to 9.31% YTD).

Short-sellers continued to get hammered as the markets rallied. The CS/Tremont index showed dedicated short-bias funds down 5.46% in November. Combined with October’s 4.25% drop, the strategy is the only one of CS/Tremont’s 13 substrategies in negative territory. It fared only slightly better in the CS/Tremont investable index (down 2.69% in November and 7.07% YTD) and the Greenwich index (down 3.67% on the month and 6.36% on the year).

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Editor's Note