Tue, Mar 31, 2015
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. Other Voices: Does the hedge fund industry benefit society?[more]

    This article was authored by Don Steinbrugge, Chairman of Agecroft Partners, a US-based global consulting and third party marketing firm for hedge funds. It is no secret that the hedge fund industry is viewed negatively by a la

  2. Private credit comes into focus for investors[more]

    Bailey McCann, Opalesque New York: As investors look for a way out of the low yield/no yield environment, private credit is becoming an increasingly attractive asset class, according to a white paper from Bayshore Capital Advisors. Private credit has grown steadily since the financial crisis as

  3. M&A - Hedge funds no longer attractive targets for banks, reinsurers, Blackstone buys stake in Christopher Pucillo’s Solus event-driven hedge fund[more]

    Hedge funds no longer attractive targets for banks, reinsurers From Institutionalinvestor.com: Swiss RE, the world’s second-largest reinsurer, is looking to sell its 15 percent stake in Jersey, Channel Islands–based hedge fund firm Brevan Howard Asset Management. Morgan Stanley reported

  4. Opalesque Radio: Threadneedle expects continuing equity volatility this year[more]

    Benedicte Gravrand, Opalesque Geneva: Investors should expect more volatility, which is signaling a "slow moving" top to the market, KKM Financial’s founder and CEO Jeff Kilburg told CNBC on Monday. And this volatility is going

  5. Hedge funds show strong performance of 2.52% so far in 2015[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry got off to a strong start in 2015 "completely unmindful" of the poor performance last year, according to data provider Preqin. According to Preqin, following a year which saw the average he

 

banner