Fri, Aug 26, 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 declines -1.6% in May (+2.5% YTD)

Thursday, June 07, 2012
Opalesque Industry Update: Hedge funds posted declines in the volatile month of May, with the HFRI Fund Weighted Composite Index posting a loss of -1.6 percent, reported today by HFR (Hedge Fund Research, Inc.), the global leader in the indexation, analysis and research on the global hedge fund industry. This marks the third consecutive monthly decline, reducing the YTD gain for the Index to +2.5 percent through May.

Mirroring trends across financial markets, hedge fund performance during May was widely divergent across strategies, with Macro funds posting their best monthly performance since April 2011, while Equity Hedge posted its largest decline since September 2011. The HFRI Macro Index gained +1.7 percent in May, bringing YTD gains to +1.9 percent, with significant contributions from Systematic strategies and positions in fixed income, commodities and currencies, with limited aggregate exposure to equity market volatility. The HFRI Macro: Systematic Diversified Index gained +4.1 percent in May and has gained +2.9 percent YTD.

The HFRI Equity Hedge Index posted a decline of -4.1 percent in the month, paring its YTD gain to +1.8 percent, with declines across Growth, Energy and Emerging Markets strategies only partially offset by Short Bias funds, which gained over +7.0 percent.

Event Driven strategies declined by -1.4 percent, paring YTD gains to +3.1 percent, with weakness in Activist, Distressed and Equity Special Situations funds. Falling yields and increased volatility failed to offset the impact of credit weakness as Relative Value Arbitrage funds posted a decline of -1.3 percent, the first decline for this strategy in 2012, narrowing YTD gains to +3.1 percent.

Funds of Hedge Funds posted a decline of -2.0 percent, while Emerging Markets hedge funds declined by -5.4 percent, the largest decline for EM hedge funds since September 2011. With the May decline, HFRI Emerging Markets Index has gained +0.8 percent YTD.

“During the volatile month of May, investors reacted to increased European bank and sovereign bond risk and weakening U.S. economic data by aggressively moving portfolios toward less risky exposures,” said Kenneth J. Heinz, president of HFR. “This risk-off response adversely impacted certain areas of equity-sensitive hedge fund exposures, while benefitting strategies tactically positioned to insulate portfolios and produce gains resulting from the strong trends and volatile environment which materialized. In the current environment, at some level, every hedge fund is a Macro fund.”

HFR

Press Release

BM

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. Opalesque Exclusive: Algorithms platform aims to target typical challenges found in quantitative hedge funds[more]

    Benedicte Gravrand, Opalesque Geneva: Last month, Quantopian received investments from Point72 Ventures, the new venture capital arm of Steven Cohen’s Point72 Asset Management.

  2. LatAm hedge funds surge in 1H to +24.4%, emerging markets assets rise[more]

    Komfie Manalo, Opalesque Asia: Hedge funds investing in Latin America posted strong gains through mid-2016, reversing declines in four of the past five years, including the last three years, to lead all areas of hedge fund performance through the first half of 2016, according to the latest HFR Em

  3. Asia - LGT Capital Partners: Alternatives set for continued rise in Asia[more]

    From Asianinvestor.net: More flows are likely into insurance-linked strategies, private equity and trend-following strategies/CTAs, given the benefits of such investments, argues LGT Capital Partners. Despite the numerous quantitative easing programs and bailouts of recent years, the quest for

  4. Opalesque Roundtable: Low and high fee investments often better than mid fee hedge funds[more]

    Komfie Manalo, Opalesque Asia: Hedge funds that charge the low and high fees stuff often provide better returns than "those sort of mid-fee investments", said Keith Haydon, chief investment officer of Man FRM. (Alternative) investment managers who charge high fees would often provide the most int

  5. Hedge fund investors pull $5.7 billion in July[more]

    From Bloomberg.com: Hedge funds suffered a third consecutive month of outflows in July as investors withdrew $5.7 billion, according to industry tracker Eurekahedge. Redemptions totaled $20.7 billion in the three months through July, with money managers betting on equities suffering $18.4 bill