Industry Updates

HFRU Hedge Fund Composite Index up +0.43% in May (+2.75% YTD)

Wednesday, June 05, 2013

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Opalesque Industry Update: Equity markets posted gains for the month despite paring gains in a late-month sell off as government bond yields rose on improving US economic data and expectations for a reduction of bond purchase stimulus measures by the Federal Reserve. European equities posted strong gains, led by Germany, with contributions from the Netherlands, Italy, France and the UK. Asian equities were mixed as the Nikkei experienced a sharp intra-month reversal, ending the month with a narrow decline; China, India and Korea also gained while Australia and Hong Kong declined. Emerging Markets equities declined, with weakness concentrated in both Russian and Latin America. US equities led gains for May, with positive contributions across all market capitalizations with sector leadership from Technology, Financials, Cyclicals and Healthcare. Bond yields rose with US 10 year bond yields rising nearly 50 bps for the month, yields also rose across UK Gilts, France, German Bunds, Italy, Spain, Switzerland and Japan, while Greek bond yields fell sharply on improved fiscal outlook and austerity measures; investment grade credit widened while volatility rose for the month. The US dollar posted strong gains across most currencies, eclipsing a 4 year high of 100 against the Japanese Yen; the Dollar also gained against the British Pound, Euro, Swiss Franc, Australian Dollar and South African Rand. Declines continued across most commodities led by Gold, Silver, Oil, Natural Gas, Lumber, Cotton and Sugar. UCITS compliant Hedge funds posted gains, with the HFRU Hedge Fund Composite Index rising +0.43% for May.

HFRU Equity Hedge Index rose +1.21% for May, with positive contributions from European small and micro cap exposures, MENA, Emerging Asia and Technology equities.
HFRU Event Driven Index posted a gain of +0.78% for May, with positive contributions from European Special Situations, Credit Arbitrage and Merger Arbitrage with macro overlay.
HFRU Relative Value Arbitrage Index posted a narrow gain of +0.02% for May, with gains from Volatility & Convertible Arbitrage, Asset Backed and Real Estate strategies, which were partially offset by Emerging Market and interest rate sensitive exposures.
HFRU Macro Index declined -0.35% for May, with positive contributions Currency exposures offset by weakness in Commodity strategies and short term trend following strategies; performance was mixed across systematic and global discretionary managers.