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December 23, 2004 at 07:00 PM
NEW YORK (HedgeWorld.com)–Hedge funds inched up another 2.65% in November, according to the CSFB/Tremont Hedge Fund Index.
Year-to-date through Nov. 30 the index was up 7.91%, which still lags the MSCI EAFE US$ Index. For the month, the hedge fund index also underperformed the Standard & Poor’s 500 Stock Index, which gained 3.86%.
Managed futures funds outperformed all the stock and hedge fund indexes, however, with a climb of 5.83% for November. The significant depreciation of the U.S. dollar and positive foreign exchange market trends were a boon to managed futures managers, Tremont officials said.
Equity trends were also a boost to some managers. “U.S., European and Japanese equities were generally positive for the month of November,” Robert I. Schulman, co-chief executive officer of Rye, N.Y.-based Tremont Capital Management Inc., said in a statement.*
Long/short equity managers were able make gains through stock selection and directionality, according to Mr. Schulman. Long/short equity managers garnered 3.45% last month, ranking behind event-driven managers, which gained 3.27% over the same time period.
Shorting stocks didn’t pay in November. Dedicated short-bias was the worst-performing strategy, with a dip of negative 7.71% for the month, leaving the strategy down 3% for the year in the broad hedge fund index. The CSFB/Tremont Sector Invest Index for dedicated short-bias is stalled at an 8.45% loss year-to-date.
Event-driven plays remain top performers, according to CSFB/Tremont, with distressed, event-driven multi-strategy and risk arbitrage managers finishing the year through November up 13.43%, 11.12% and 4.08% respectively.
The CSFB/Tremont Investable Index finished the month slightly lower than its non-investable counterpart, with a gain of just 1.73%. Comprising funds with more than US$95 billion in combined assets, the investable index is up 4.18% for the year.
The monthly performance of CSFB/Tremont’s third set of indexes, the Sector Invest Indexes, was in line with the others, with the exceptions of managed futures, event driven and emerging markets strategies.
