If you invested in a European hedge fund this year, you might wish you had put your money elsewhere. The problem, according to some hedge-fund advisers: Managers misjudged the strength of the stock market’s bull run.

European-domiciled hedge funds returned 7.55% this year to the start of December, net of fees, according to the most recent data from research firm eVestment, far behind the Stoxx Europe 600 index and the S&P 500, which advanced 20.7% and 25.3% for the same period, respectively.