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S&P Hedge Fund Index Records Positive Return In November

by Phillip Morton, Investors

09 December 2004

Standard & Poor’s reported on Tuesday that November hedge fund performance, as measured by the S&P Hedge Fund Index, was up 1.45% for the month led by strong returns from both directional/tactical and event-driven managers.

According to S&P, these gains in the directional/tactical index were largely driven by strong returns in the Managed Futures sector, which came in addition to gains from short US dollar positions and long equity positions.

Moreover, in spite of lingering low levels of volatility, Long/Short Equity experienced gains as the U.S. stock market, as measured by the S&P 500, rose by 3.86%.

“Volatility again entered the energy markets in November as most futures contracts had significant retracements off their highs due to reports of increased oil production,” observed Justin Dew, senior hedge fund specialist at Standard & Poor’s.

“This occurrence was exacerbated by the psychological impact caused by a large Chinese speculator reporting losses topping USD $550 million in short volatility trades in these markets,” he added.

The Event-Driven sector performed well in November, returning 1.43% for the month, with distressed investing leading the way as positions in a few, key energy related companies profited on their emergence from bankruptcy earlier in the month.

“Resolution over who would be the next U.S. President, and what he would mean to the business sector, finally came to pass causing many positions in the Special Situations sector to gain,” noted Dew.

The S&P Arbitrage Index was largely unchanged in November (down 0.32%) as Fixed Income Arbitrage had a flat month with Fed rate increases finally working their way into bond yields.

A comprehensive report in our Intelligence Report series describing Offshore Investment Funds, Stock Exchanges and Trusts, with an Analysis of the US QI Regime is available in the Lowtax Library at and a description of the report can be seen at

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