Sat, Aug 19, 2017
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: Albright Capital puts a value lens on emerging markets[more]

    Bailey McCann, Opalesque New York: Over the past decade, investors have steadily increased investments in emerging markets private funds. Allocations to the cohort have increased from $93 billion in December 2006 to $564 billion in September 2016, according to data from research firm Preqin. Howe

  2. FinTech - Danger: Crowdfunding on the wrong platform could force you to go public[more]

    From LinkedIn.com: Some equity crowdfunding platforms are putting startups at serious risk. Working with a platform that doesn't structure your deal appropriately could jeopardize your ability to raise future capital or worse, force you to become a public reporting company. The emergence of eq

  3. David Tepper says we're 'nowhere near an overheated' stock market[more]

    From Marketwatch.com: Billionaire David Tepper thinks comparing this current stock-market environment with the overheated markets of 1999 is "ridiculous." The hedge-fund manager, who runs Appaloosa Management, told CNBC in a phone interview on Tuesday that the market's record run, notwithstanding la

  4. Opalesque Exclusive: Altegris and Artivest partner on distribution for alternative funds suite[more]

    Bailey McCann, Opalesque New York: California-based investment firm Altegris has partnered with New York-based alternative investments platform Artivest on distribution for $1 billion in alternative funds. The partnership also launches Artivest's capabilities to offer alternative solutions to acc

  5. Investing - Buffett's Berkshire Hathaway will not increase its Oncor offer, Travel-tilting hedge funds are investing in airlines and online travel agencies[more]

    Buffett's Berkshire Hathaway will not increase its Oncor offer From Reuters.com: The energy unit of Warren Buffett's Berkshire Hathaway Inc said on Wednesday it will "stand firm" on its $9 billion offer to acquire 80 percent of Oncor Electric Delivery Company LLC and will not increase it