GLOBAL ­- The majority of hedge fund strategies have reported losses for 2011 to the end of November, with the average long/short equity fund finishing down 5.5%, according to research by the EDHEC- Risk Institute.

Patrice Retkowsky, senior research engineer at the Institute said that after the “spectacular” rebound in October, November saw a “stable but slightly negative” performance from strategies reliant on the S&P 500 index. He added that this was due to a further reduction of 7.2% in implied volatility.

Retkowsky added: “Despite an unusually strong short-term correlation with the stock market, the Equity Market Neutral strategy managed stability and turned up as the only profitable equity-oriented strategy over the year.”

The strategy is up 0.83% year-to-date.

“Conversely, the Event Driven and Long/Short Equity strategies could not repeat their positive performances of October, and deepened their year-to-date lag behind the S&P 500,” he said, calculating respective declines of 0.54% and 1.36% with both strategies, while year-to-date returns for Long/Short funds were worst of all eight funds surveyed, declining in value by 5.48%.

“The fixed-income market was marked by a clear setback,” he added, noting that regular bonds registered their “sharpest” loss for all of 2011 to date, while convertible bonds saw half of October’s gains undone by a 2.7% fall, citing the institute’s Hedge Fund Performance Report.

Out of five categories in the report (convertible arbitrage, CTA global, equity market neutral, event-driven and long/short equity) only equity market neutral was positive. By contrast, the Lehman Global Bond Index returned 8.7%, and even the S&P 500 finished November up 1.08%, year to date.

Fund-of-fund strategies were also highlighted by Retkowsky for “significantly” underperforming the stock market last month, declining by 0.91%.

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