NEW YORK (HedgeWorld.com)–The S&P Hedge Fund Index returned 0.48% in November and is up 9.56% during the year through November.
None of the S&P subcategory hedge fund indexes performed particularly well during the month, with the S&P Arbitrage Index performing the best. The arbitrage index returned 0.64% in November and is barely positive for the year with a return of 1.65%.
The Arbitrage Index includes equity market neutral, fixed-income arb and convertible arb approaches. One of the arbitrage index component managers, the Clinton Group, was removed from the index in November because its arbitrage strategy had been closed and because of “recent events,” according to a statement from S&P Previous HedgeWorld Story.
The S&P Event-Driven Index returned 0.5% in November, nudging its year-to-date return to 14.63%. The Event-Driven Index is composed of merger arbitrage, distressed and special situations accounts.
The S&P Directional/Tactical Index, made up of global macro, futures and long/short equity, returned 0.33% in November and 12.38% in the first 11 months of the year.
A separately run index, the S&P Managed Futures Index, returned 0.02% in November and is up 3.99% in the year-to-date period through November.
Equity markets also had a so-so month. The S&P 500 stock index returned 0.71% in November but is still in solidly positive territory for the year with a return of 20.27%. The U.S. dollar EAFE Index returned 2.08% in November and 25.53% year-to-date through November.