Wednesday, December 7, 2011

Hedge funds struggle in 2011

Hedge fund performance this year continues to be poor. The overall Credit Suisse hedge fund index is down about 7% year-to-date, though off the September lows. The best performing component of the index is "Fixed Income Arbitrage", which is down 1%. Global Macro strategies are down 10% on average as people continue to get whipsawed in currency, commodity, and rates markets that have seen multiple and violent trend reversals.

Source: Dow Jones/Credit Suisse

The worst performer is the "Event Driven" group, down 12%. A number of these funds invest in distressed assets. Some try to hedge their portfolios with liquid indices. This year some got hurt on the core assets (as a number of distressed names deteriorated sharply) AND on the hedges as well.

Source: Dow Jones/Credit Suisse
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