October will be the worst month in its history for hedge funds, according to Roger Guy and Guillaume Rambourg, co-managers of Gartmore’s $1....

October will be the worst month in its history for hedge funds, according to Roger Guy and Guillaume Rambourg, co-managers of Gartmore’s $1.5 billion AlphaGen Capella hedge fund. They told investors in a recent letter that the six-year-old fund was down 3.5 per cent for the first three weeks of the month, a sign that other hedge funds will be down by a similar or even larger amount, according to commentators. The fund, was up 11.5 per cent for the first nine months of 2005 and has returned 19 per cent a year since 1999. It has only suffered four down months in six years, according to the firm, which is confident that any losses will be made good. The firm has significantly reduced its exposure to European equity markets. According to the letter the "sell the rally" mentality pervading the market will continue with the large European hedge fund community desperately trying to hold onto any gains made so far this year. Many hedge funds have uncovered long positions in energy and utility stocks, sectors which have experienced sharp corrections this month.