Sun, Nov 29, 2015
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Hedge funds gain +0.5% in May as bonds, currencies fall - HFRI

Friday, June 07, 2013
Opalesque Industry Update: Hedge funds posted their 7th consecutive monthly gain in May and the 11th gain in the last twelve months as strong performance in Equity Hedge and Event Driven strategies offset weakness in Macro and CTA strategies, according to data released today by HFR.

The broad-based HFRI Fund Weighted Composite Index advanced +0.5 percent for the month, led by a gain of +1.8 percent for the HFRI Equity Hedge Index. Equity Hedge, the largest strategy area for the equally-weighted HFRI Composite, saw gains distributed across most sub-strategies, with Fundamental Value, Sector Technology and Fundamental Growth advancing +2.5 percent, +2.4 percent, and +1.1 percent, respectfully. Meanwhile, Short Bias funds detracted from overall Equity Hedge performance, declining by -3.2 percent.

The HFRI Event Driven Index added +1.7 percent in May, its 12th consecutive monthly gain, powered by the continuation of the dynamic market for corporate transactions. The HFRI ED: Distressed/Restructuring Index advanced +1.7 percent for the month, while funds specializing in Special Situations and Activist strategies gained +1.7 and +4.9 percent, respectively.

Fixed Income-based Relative Value Arbitrage, the largest hedge fund strategy area by capital with $640 billion in AUM, also posted its 12th consecutive monthly gain and the 46th gain in 53 months since the onset of the Financial Crisis in December 2008. Despite the sharp rise in bond yields, the HFRI Relative Value Index advanced +0.06 percent in May, led by a gain of +1.9 percent in the HFRI RV: FI - Convertible Arbitrage Index. Credit Multi-Strategy funds and Yield Alternative strategies gained +1.7 percent and +0.4 percent, respectfully, in May.

The HFRI Macro/CTA Index declined by -1.5 percent for the month, on weakness in quantitative trend-following CTA and Commodity-focused strategies. The HFRI Systematic Diversified CTA Index fell -2.2 percent, reversing a similar gain from the prior month, with negative contributions across equity, fixed-income and commodity exposures. Partially offsetting these declines, Discretionary Macro strategies added +0.2 percent while performance was mixed across Currency-focused Macro strategies.

“The performance gains seen in May are significant because in contrast to prior months, when risk-on sentiment and powerful equity market beta globally drove performance, May was dominated by a sharp reversal in the Nikkei, concerns about the impact of curtailment of quantitative easing by the U.S. Federal Reserve and a sharp rise in bond yields globally,” stated Kenneth J. Heinz, President of HFR. “Risk-on sentiment quickly reversed to risk-off into month-end and while certain quantitative, trend-following strategies were adversely impacted by these reversals, strong positioning and effective hedging across Equity, Event and Arbitrage drove gains across the HFRI indices, underscoring the powerful dynamic of strategic diversification inherent in investible indices and across heterogeneous fund strategies.”

Heinz added, “While the extent and continuation of equity market gains may be unclear at this point, the eventual curtailment and extraction of stimulus measures is likely to contribute to a challenging, volatile and uncertain environment, and hedge funds are tactically and strategically positioned to generate performance and preserve gains through just these sorts of conditions.”


Press Release


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: Hedge fund marketing and the selling cycle[more]

    By Bruce Frumerman. How long is the selling cycle now? That’s a question my financial communications and sales marketing consulting firm has been asked on a regular basis by hedge fund firm owners and sales people, ever since we opened the doors to our firm in 1987 pre-crash. Wa

  2. People - Solus Alternative Asset Management adds chief strategist from BTIG[more]

    From Daniel Greenhaus joined hedge fund manager Solus Alternative Asset Management as managing director and chief strategist. He will work closely with Chris Bondy, Solus’ chief economist, managing director and executive vice president, said Chris Pucillo, CEO and chief investmen

  3. Opalesque Roundtable: Seeding deal terms can be onerous for hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Executives from fund of funds firms, family offices, a placement agent, a private equity firm, and an accounting firm gathered in Connecticut last month for the

  4. Opalesque Roundtable: Family offices flock to co-investment[more]

    Bailey McCann, Opalesque New York: Co-investments have been a hot topic for pension funds in recent years, as they try to move away from high fees and improve transparency. But now, family offices are more readily getting into the mix and establishing in-house deal teams, according to the delega

  5. More institutional investors invest in CTAs compared to last year despite dissatisfaction with performance[more]

    Benedicte Gravrand, Opalesque Geneva: "Despite a strong start to 2015 for CTAs in Q1, commodity market conditions have made return generation difficult for fund managers over much of the rest of the year to date," says Preqin’s November