The November returns for investable indexes, including Credit Suisse/Tremont Hedge Fund Index, Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Greenwich Investable Indexes, Hedge Fund Research Indexes and Lyxor Alternative Index.

Graphs (November returns)

Credit Suisse/Tremont Hedge Fund Index
Estimates for the Credit Suisse/Tremont Hedge Fund Index indicate returns of 2.29% in November (based on 71% of assets reporting). The result brings year to date (YTD) returns to 17.76%. Managed futures was the best-performing strategy in November, up 4.59% after a negative October. Other strategies to convert negative October returns into positive Novembers included long/short equity (up 2.38%) and equity market neutral (up 0.2%). In contrast, dedicated short bias strategies returned -3.48% in November after a strong October. YTD managed futures was down by 1.99% and dedicated short bias by 22.08%. The best-performing strategy was convertible arbitrage, up 44.37% YTD and 0.96% for November.

Dow Jones Investable Indexes
The Dow Jones Hedge Fund Equity Long/Short Benchmark edged past the event driven strategy for the first time in several months in November, posting returns of 0.81% compared to 0.74% for event driven. The merger arbitrage benchmark also had positive returns, up 0.42% for the month. YTD event driven continued to outperform the other strategies, up 14.24% compared to 7.22% for merger arbitrage and 2.95% for equity long/short. The Dow Jones Hedge Fund convertible arbitrage, distressed securities and equity market neutral strategy benchmarks were not calculated in November 2009.

Frontier Capital Multi Asset Platform Fund versus the indexes
The Frontier Capital Multi Asset Platform (MAP) returned 1.9% in November 2009 with all eight asset classes showing positive returns. Emerging equities, commodities and global equities were the best-performing asset classes, increasing by 4.3%, 3.8% and 3.1%, respectively. The worst-performing asset classes were hedge funds and global bonds, up 1.0%, followed by emerging bonds, which was up 1.1%. Over the five years to November 2009 the MAP strategy has generated 3.2% annualised returns with volatility of 9.3%. The MAP Fund is an investable fund tracking eight global asset class indexes using an asset allocation inspired by US university endowments such as Harvard and Yale.

Greenwich Investable Indexes
Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) edged higher during November.  With the exception of short sellers, all Greenwich hedge fund strategy groups are up YTD. The GGHFI returned 1.68%, compared to global equity returns in equity indexes of 6% for the S&P 500 Total Return, 3.87% for the MSCI World Equity and 2.9% for the FTSE 100. YTD the GGHFI has returned 18.35%. Seventy two per cent (72%) of constituent funds in the GGHFI ended the month with gains, although both gains and losses in November were relatively flat. The long/short equity group posted the strongest monthly performance, up 1.3%, with market neutral coming in flat at 0% for the weakest group performance of the month.

Hedge Fund Research Indexes (HFRX)
The HFRX Global Hedge Fund index was up 1.66% in November, bringing YTD returns to 12.77%, the best for several years. Individually the best-performing strategy in November was equity hedge, up 3.12% and 13.32% YTD. Macro also performed well, posting November returns of 2.43%. However macro was still down by 6.32% YTD. Distressed securities is another strategy to have had a tough 2009, posting negative November returns of 0.54% and 8.78% YTD. Despite returning -0.94% for November, convertible arbitrage has had an outstanding year, returning 39.17% YTD.

Lyxor Alternative Index
The Lyxor Global Hedge Fund index was up 1.1% in November and 5.5% YTD. Many long/short equity managers posted reasonable performance numbers in November on the back of the mixed data. Variable bias managers were up 0.7% on the month, reflecting their generally neutral positioning. However, market neutral posted disappointing numbers, down 0.5% while statistical arbitrage funds fell 0.6%. The clear winners from a performance perspective were long bias managers, up 1.7%. Special situations managers had a particularly good month, finishing at 2.6%. Within the convertible/volatility arbitrage (-0.3%), fixed income arbitrage (0.1%) and long/short credit (2.1%) strategies, managers had mixed performances. CTAs generated a wide range of outcomes in November. Short-term CTAs posted losses of 0.6%, as they were affected by equity market reversals. Long-term CTAs posted stronger performance, up 3.5% on the general trend in equities, commodities, and currencies.