Sat, Apr 18, 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 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. Tiger Global falls 2.9% in March, down 5.3% in Q1[more]

    From Reuters.com: Investment firm Tiger Global Management, one of the hedge fund industry's most closely watched players, told clients that its hedge fund lost 5.3 percent during the first quarter, an investor said on Wednesday. Much of the decline came in March when the fund lost 2.9 percent,

  2. It’s not just hedge funds—IMF study finds stability risks from ‘vanilla’ funds[more]

    From MarketWatch.com: Leveraged hedge funds and banklike money-market funds are the parts of the asset-management industry most associated with risks to financial stability. But a report from the International Monetary Fund suggests that “plain-vanilla” mutual funds and exchange-traded funds also ca

  3. Hedge funds gain 2.4% in Q1 driven by currency and commodity markets[more]

    Komfie Manalo, Opalesque Asia: Hedge funds posted positive results last March to conclude a strong first quarter, with performance driven by strong macro trends in currency and commodity markets, complemented by broad-based gains and positioning in event driven, equity hedge and fixed income-b

  4. Hedge funds looking to continue their rally in Q2[more]

    Komfie Manalo, Opalesque Asia: Hedge funds finished the first quarter on a strong note and are looking to continue the rally in the second quarter, said Lyxor Asset Management in its Weekly Brief. The Lyxor Hedge Fund Index is up 0.4% over the week

  5. Hedge funds down -0.17% in March (+1.23%YTD)[more]

    Bailey McCann, Opalesque New York: The hedge fund industry produced an aggregate return of –0.17% in March to end Q1 2015 up 1.23%, compared to the S&P 500 which increased 0.96%, according to the latest data from eVestment. Hedge fund performance returns were mixed in March amid increased equity

 

banner