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From Kirsten Bischoff, Opalesque New York: The HFRI Global Hedge Fund Index returned an estimated -6.90% for September. Across the strategies Convertible Arbitrage Index was at -16.55%, followed by Relative Value Arbitrage Index at -9.37%, Equity Hedge Index at -8.59%, HFRX Event Driven Index at -7.37%. (HFRX Indices - table).

Convertible Arbitrage was perhaps the strategy hardest hit by the SEC Emergency ban on short selling of financial stocks. “Basic convertible arbitrage strategies entail short-selling and many of the new convertible bonds issued in the United States in the past year have come from financial service companies whose stocks are now off limits for shorts,” commented Karan Sampson of Greenwich Associates commented in a recent report about the regulation.

As September performance numbers are finalized and sent out, the realities of fourth quarter redemptions grows. But just as some strategies are facing additional problems brought on by regulations other strategies are battling market liquidity issues.

Looking for liquidity neutral funds As investors look to rebalance their portfolio in light of liquidity risk “if you use the Sharpe ratio to help you decide what investments you are going to make and then you liquidity-adjust the Sharpe ratio, your investment decisions might be......................

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