One of London's most successful hedge fund managers has told investors that October is shaping up to be the worst month in its history. The warning is likely to be read as a harbinger of bad news from other hedge funds.

Roger Guy and Guillaume Rambourg, co-managers of the $1.5bn AlphaGen Capella hedge fund for Gartmore, told investors in a letter dated October 21 that the six-year-old fund was down 3.5 per cent for the first three weeks of the month.