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Alternative Market Briefing

Niederhoffer hedge funds report mixed returns in May

Wednesday, June 05, 2013

From Komfie Manalo, Opalesque Asia:

New York-based CTA R. G. Niederhoffer Capital Management reported mixed results in May with only two of its five programs posting positive gains. However, year to date, all R. G. Niederhoffer’s programs are still in the black.

According to May performance estimates obtained by Opalesque, the iHedge Program, with $5m in assets, was up 4.0% during the month (+12.8% YTD) and the Optimal Alpha Program with $8m in assets, was up 1.0% (+41.3% YTD) with an annualized return since 2004 inception at 2.9% in correlation to S&P 500 Index, HFRI Fund of Funds, MSCI AC World Index, and Nikkei 225 which were all flat at 0% during the month and the Index Newedge CTA which returned 0.1% during the period.

The firm’s biggest fund, the Diversified Program with $527m, which fell -0.7% last month (+27.7% YTD) and annualized return of 8.2%, since its 1995 inception ( in correlation to S&P 500 Index -0.2%, HFRI Fund of Funds -0.3%, Newedge CTA +0.2%, MSCI AC World Index -0.3%, and Nikkei 225 Index-0.2%); the Negative Correlation Program with $12m in assets, fell -1.6% (+10.0% YTD) and -3.0% annualized returns since its 2003 inception ( in correlation to S&P 500 Index -0.7%, HFRI Fund of Funds -0.6%, Newedge CTA -0.1%, MSCI AC World Index -0.6%, and Nikkei 225 Index-0.5%); and the Trend Hedge Program with $13m in assets also fell -5.0% in May (+2.5% YTD) with an annualized re......................

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