European hedge funds emerged unscathed for the most part from a highly volatile month in the markets in November, with the EuroHedge Composite index showing a flat return of 0.1% on a median basis and 0.09% on a mean average basis.
The major exception was in managed futures, where many of the big CTA systematic trading groups suffered substantial setbacks as markets were roiled again by the worsening Eurozone sovereign debt crisis.
Managed futures funds were down by 2.26% on a median basis, with some of the biggest CTAs faring far worse. Man AHL Diversified, for instance, was down by 8.11% on the month – halving its YTD return to 8.6% to the end of November.
But early evidence suggest that most of the big CTAs are bouncing back again in December’s more buoyant market conditions – with several of...