The $50bn (€36.62bn) fraud allegedly committed by Bernard Madoff has wrought havoc with one of the main indices tracking performance of part of the hedge fund industry, after the inclusion of three funds linked to the New York asset manager caused a 40% slump last month.

The Credit Suisse Tremont index that measures performance of funds, which put equal amounts of money on some shares rising while others fall, registered a 40.6% loss last month as it wrote off exposure to the Kingate Global, Fairfield Sentry and Rye Select Broad Market Portfolio funds.