Thu, Aug 5, 2021
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Hedge funds extended gains in May amidst inflationary pressures

Tuesday, June 08, 2021
Opalesque Industry Update - Hedge funds extended performance gains in May for the eighth consecutive month as investor optimism accelerated regarding the US economic reopening and despite signs of building inflationary pressures in the US and Europe.

The HFRI Fund Weighted Composite Index (FWC) gained +1.7 percent in May, while the investable HFRI 500 Fund Weighted Composite Index advanced +1.5 percent, according to data released today by HFR, the established global leader in the indexation, analysis and research of the global hedge fund industry.

The HFRI FWC has gained +9.9 percent through the first five months of 2021, the strongest YTD performance through May since 1996 and the longest period of consecutive monthly gains (8) since the index produced 15 consecutive positive months ending January 2018. In the trailing eight-month period, the HFRI FWC has surged +21.9 percent, representing the third strongest such period on record.

The performance dispersion of the underlying index constituents contracted again in May, as the top decile of the HFRI gained an average of +8.7 percent, while the bottom decile declined by an average of -3.1 percent for the month, representing a top-bottom dispersion of 11.8 percent. By comparison, the top-bottom dispersion in the first four months of the year averaged 17.0 percent.

Uncorrelated Macro funds led HFRI FWC main strategies in May, driven by discretionary thematic, fundamental Commodity, and trend-following CTA strategies. The HFRI Macro (Total) Index gained +2.3 percent for the month, while the investable HFRI 500 Macro (Total) Index advanced +2.1 percent. Macro sub-strategy performance was led by the HFRI Macro: Discretionary Thematic Index, which surged +3.7 percent in May, the HFRI Macro: Multi-Strategy Index, which advanced +2.4 percent, and the HFRI Macro: Trend-Following Index, which added +2.3 percent.

Event-Driven strategies, which often focus on out-of-favor, deep value equity exposures and speculation on M&A situations, extended the recent surge into 2Q21 as the investable HFRI 500 Event-Driven Index advanced +1.3 percent in May, while the HFRI Event-Driven (Total) Index gained +1.6 percent. ED sub-strategy gains were led by Shareholder Activist, Distressed/Restructuring, and Special Situations, strategies which categorically trade in deep value equity situations, including companies which are possible targets for restructuring, acquisitions, or investor-driven strategy shifts. The HFRI ED: Activist Index advanced +2.6 percent, the HFRI ED: Distressed/Restructuring Index gained +2.5 percent, and the HFRI ED: Special Situations Index added +2.0 percent in May.

HFRI Equity Hedge (Total) Index jumps +1.5% in May

Equity Hedge strategies, which invest long and short across specialized sub-strategies, accelerated recent gains in May, despite an increase in equity volatility associated with rising inflationary pressures. The HFRI Equity Hedge (Total) Index jumped +1.5 percent for the month, with strong contributions from a wide dispersion of sub-strategy performance led by the high- beta, long-biased Energy, Fundamental, and Multi-Strategy exposures. The investable HFRI 500 Equity Hedge Index gained +1.2 percent in May, extending its 8-month gain to +24.5 percent. The HFRI EH: Energy/Basic Materials Index surged +3.1 percent, the HFRI EH: Fundamental Value Index advanced +2.2 percent, and the HFRI EH: Multi-Strategy Index added +1.9 percent in May.

The fixed income-based, interest rate-sensitive HFRI Relative Value (Total) Index gained +1.1 percent while the investable HFRI 500 Relative Value Index advanced +1.0 percent as signs of building inflationary pressures emerged in May. Sub-strategy performance was led by the HFRI RV: Yield Alternatives Index, which vaulted +4.1 percent for the month, and the investable HFRI 500 RV: Asset Backed Index, which advanced +1.4 percent.

The HFRI Emerging Markets (Total) Index jumped +2.8 percent in May, driven by the HFRI EM: Latin America Index, which vaulted +3.7 percent, the HFRI EM: MENA Index, which gained +3.6 percent, and the HFRI EM: Russia/Eastern Europe Index, which added +2.8 percent.

Risk Premia and Liquid Alternatives also posted gains in May, led by Commodity and Rates exposures. The HFR BSRP Commodity Index gained +2.9 percent for the month, while the HFR BSRP Rates Index advanced +2.7 percent. The HFRI-I Liquid Alternative UCITS Index advanced +0.5 percent in May, driven by a +0.8 percent gain in the HFRI-I UCITS Macro Index. Risk Parity posted its third consecutive months of gains in May, as the HFR Risk Parity Vol 15 Index surged +4.3 percent for the month, following gains of +6.9 and +1.2 percent in April and March, respectively.

The HFRI Women Index advanced +1.4 percent in May, while the HFRI Diversity Index added +1.3 percent.

"Hedge funds advanced in May for the eighth consecutive month, extending the strongest calendar year start since 1996, posting gains despite increased equity market volatility and rising inflationary pressures", stated Kenneth J Heinz, President of HFR. "Hedge funds have effectively transitioned exposures and positioning globally for a post-pandemic macroeconomic and geopolitical environment, encompassing both ongoing risks associated with virus variant and mutations, as well as evolving opportunities associated with a robust reopening across global and regional economies in coming months. Managers are currently navigating this environment with an emphasis and focus on inflation/interest rate sensitivity and equity volatility management. Funds which are able to demonstrate their specialized capabilities are likely to attract capital from leading global institutions seeking to manage these risks and access these opportunities."

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. New Launches: Apollo investors look past Black-Epstein tie to back impact fund, Leeds Equity closes in on $1.25bn for its seventh buyout fund, Schroders Capital surpasses $389m for its fifth European infrastructure senior debt fund, Neuberger Berman closes NB Private Equity Impact Fund at nearly $280m, HSBC AM launches fintech venture capital strategy, Slate rounds up close to $600m for first credit fund, Trifecta Capital raises $130m for close of VC fund, Lumira Ventures closes on $255m of new capital to build transformative healthcare companies[more]

    Apollo investors look past Black-Epstein tie to back impact fund From Bloomberg: The backlash against Apollo Global Management Inc. over Leon Black's ties with sex offender Jeffrey Epstein is waning, with investors lining up to entrust the firm to manage investments dedicated to social

  2. Investing: Tiger Global: The technology investor ruffling Silicon Valley feathers, Addepar raised $150m from hedge fund D1[more]

    Tiger Global: The technology investor ruffling Silicon Valley feathers From FT: For the first 15 years of running Tiger Global Management, Chase Coleman wore a suit every day in the hopes that investors would look past his inexperience. Today, his firm faces a different kind of reputat

  3. SPACs: SPAC IPOs show time is money with speedier deal chases, Pershing Square Tontine has almost no risk left after its merger imploded, Lending platform Kredivo to go public via $2.5bn SPAC merger, SPAC-on-SPAC deal falls apart, and so does Immunovant's stock, Grab loss narrows on food delivery ahead of U.S. SPAC merger[more]

    SPAC IPOs show time is money with speedier deal chases From Bloomberg: SPAC bosses are finding they have to speed up their deal hunt if they want to attract investors these days. About half the blank-check companies that filed for U.S. listings since the start of June are giving th

  4. Goldman's China hedge fund clients had second-worst month ever, Tiger Global almost breaks even in July despite China stock rout, Hedge fund Alphadyne loses $1.5bn in rates short squeeze[more]

    Goldman's China hedge fund clients had second-worst month ever From Bloomberg: Goldman Sachs Group Inc.'s hedge fund clients focused on Chinese stocks recorded their second-worst monthly loss ever in July, according to client data compiled by the bank. Fundamental long-short m

  5. SPACs: As SPAC creators get rich, how incentives are shared remains murky, Singapore's fintech firm FinAccel to list in U.S. via $2.5bn SPAC deal, Grab partially delivers the goods ahead of SPAC, Cohen SPAC to merge with business services firm Pico[more]

    As SPAC creators get rich, how incentives are shared remains murky From WSJ: Many investment executives who back special-purpose acquisition companies are scoring big paydays as more deals get completed. Some of their clients are missing out. The divergence results from the varying m