Alternative Market Briefing

Indices – HFRI Fund Weighted Composite Index fell -1.28% in May (+1.92% YTD), Dow Jones Credit Suisse Core Hedge Fund Index -1.71% (est) in May, (+0.47% YTD), Hennessee Hedge Fund Index declined 0.5% in May (+3.20% YTD)

Wednesday, June 08, 2011

HFRI Fund Weighted Composite Index fell -1.28% in May (+1.92% YTD) Global commodity and equity markets suffered negative losses in May, effectively reversing the gains posted in previous months. The US dollar strengthened against most major currencies, while US yields fell and the yield curve steepened. M&A activity proceeded despite credit spread widening, and most commodities across Agricultural, Energy and Metals posted losses. Hedge funds posted a loss in May, with the HFRI Fund Weighted Composite Index declining -1.28%, the first decline in 9 months and the largest since May 2010, with losses across Macro and commodity exposure only partially offset by gains in Relative Value Arbitrage.

The HFRI Relative Value (Total) Index posted a gain of +0.27% for the month, the 12th consecutive month of gains for RVA and the lone strategy area of positive performance for May. Positive contributions across sub-strategies include fixed-income asset-back, corporate exposure and volatility funds, with these only partially offset by losses in multi-strategy credit funds and fixed-income sovereign strategies. Fixed income focused strategies generally benefitted from falling yields and low net exposure, which was offset by widening credit. The HFRI Fixed-Income Asset Backed Index gained +1.06%, while the HFRI RVA: Multi-Strategy Index declined -0.30% for May… Full press release: ......................

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