Thu, Feb 11, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

HFRI Fund Weighted Composite Index fell -1.28% in May (+1.92% YTD)

Wednesday, June 08, 2011
Opalesque Industry Update - 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.

The HFRI Macro (Total) Index posted a decline of -2.54% for May, reversing its positive performance from the previous month. Macro strategies were impacted by sharp declines in commodity and equity markets, and continued weakness and concerns in Euro-sovereign fixed income markets; systematic trend following strategies posted a decline with the HFRI Macro: Systematic Diversified Index declining -3.65% for May, reversing gains of +4.00% from the prior month. Macro discretionary, currency and commodity exposure and active trading strategies all posted losses.

The HFRI Event Driven (Total) Index posted a decline of -0.47% for the month, the first decline since August 2010 with negative contributions across most ED sub-strategies only partially offset by gains in Activist funds. Event Driven strategies were impacted by weak equity markets and a widening credit and deal spreads associated with increasing risk aversion. The HFRI Merger Arbitrage Index declined -0.14% for May, while the HFRI: Distressed Index declined by -0.28%. Equity special situations and multi-strategy exposure also contributed to the decline.

The HFRI Equity Hedge (Total) Index posted a decline of -1.08% for the month, with modest gains concentrated in Technology, Multi-strategy and dedicated Short-Bias exposure offset by declines in Energy and Growth-oriented exposures. The HFRI EH: Energy/Basic Materials Index posting a loss of -3.18%, while the HFRI EH: Technology/Healthcare Index gained +0.71%. Factor-based and behavioral equity market neutral strategies posted a narrow decline of -0.18%, while Fundamental Growth and Fundamental Value strategies declined by -1.73% and -1.00%, respectively.

The HFRI Fund of Hedge Funds Index posted a decline of -1.46%, while the HFRI Emerging Markets Index posted a decline of -1.97% for the month, with the negative contributions across all Emerging Markets, concentrated in Emerging Asia, Russia and Eastern Europe...Full performance table: Source
KM

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Credit Suisse cherry picks hedge fund ideas[more]

    From FT.com: Credit Suisse Asset Management plans to cherry pick profitable concepts from hedge funds with the launch in Europe of a “best ideas” strategy. The investment arm of the Swiss bank said the strategy will separate it from other funds blighted by “overcrowding problems”. It comes at a time

  2. Investing - Hedge funds bet on risks in U.S. blue-chip debt, Hedge funds bets against bank credit risk paying off, Tiger Global still likes Internet names, gets pointers from Jeter[more]

    Hedge funds bet on risks in U.S. blue-chip debt From WSJ.com: Hedge funds are betting the next bond sector to crack will be the $4.5 trillion market for the safest U.S. corporate debt. New York’s Perry Capital has placed a $1 billion wager against investment-grade bonds issued by 10 comp

  3. Short Selling - Hedge fund manager Kyle Bass is shorting real estate—again, Top US hedge fund has €80m short position in Paddy Power Betfair[more]

    Hedge fund manager Kyle Bass is shorting real estate—again From Fortune.com: He also predicted the mortgage crisis in 2008. Hedge fund manager Kyle Bass, who runs Dallas-based Hayman Capital, tanked the stock of a little-known real estate financier Friday by revealing that he is shorting

  4. Investing - Real estate secondaries sole 'bright spot' in 2015, As hedge funds stumble, one firm prepares to buy illiquid stakes[more]

    Real estate secondaries sole 'bright spot' in 2015 From IPE.com: The secondary market for property was the sole “bright spot” over the course of 2015, as hedge fund secondaries saw deals fall by two-thirds, according to a wide-ranging survey of the market. Setter Capital said 2015 saw th

  5. Opalesque Exclusive: Directors want to be considered trusted partners by new manager[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A hedge fund director provides her perspective on emerging hedge fund managers. She will happily work with those who have set themselves up for future growth, s