10 December 2007
 Well it happened again - big time. The widely quoted “HFRI” index of hedge funds smoked the less-quoted, but more timely investable version, the “HFRX”. Last week we wrote that the HFRX beat the HFRI regularly - but particularly when both indices were down on the month. Well, true to form, both indices were down in November, and the HFRI beat the HFRX by 100 basis points (1.4% vs. 2.4%). Kind of takes the air out of the “November is the new August” storyline. But there are always some great crash and burn stories to satisfy your sense of schadenfreude.
Here’s a brief history of the past week:
December 4: “Hedge funds are set to record their worst monthly investment performance since near the turn of the millennium…HFR, which will publish a comprehensive monthly performance update this week, said that its $1.33 trillion (£644 million) Global Hedge Fund Index had lost 2.6 per cent of its value in the first 29 days of last month as funds were battered by huge volatility in global markets.” (Times Online)
December 6: “Hedge Fund Research got the ball rolling earlier this week with a dismal month-end estimate from its investable index, the HFRX…the HFRI outperforms the HFRX - especially when both indices are down.” (AllAboutAlpha.com)
December 7: “After reporting a decline of 2.6 percent for the first 29 days of November, Hedge Fund Research later updated its figures to include the entire month and found a somewhat smaller decline of 2.4 percent.” (New York Times)
December 10: “November was not a good month for hedge funds. But the numbers make one thing clear: It was no August. Hedge funds sank 1.4% last month, according to Hedge Fund Research…” (FINalternatives)
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