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A -$26.36 billion trading loss in May brought total hedge fund industry assets to $5.07 trillion as the month ended, down from $5.11 trillion a month earlier.

Despite the broader industry trend, some hedge fund subsectors did manage to add to assets in May.?€? In dollar-terms Multi-Strategy funds led the way adding $2.90 billion while Merger Arbitrage funds brought in $812.81 million, Option Strategies funds saw $760.22 million in inflows, Convertible Arbitrage funds added $318.52 million and Equity Long/Short funds brought in $283.52 million. On a percentage basis the subsectors that fared best were Option Strategies funds (+1.39% of sector assets); Emerging Markets - Latin America funds (+1.39% of sector assets); and Convertible Arbitrage funds (+0.85% of sector assets).

Fixed Income funds suffered the most in dollar net outflows, shedding -$16.50 billion during the month.

Other subsectors seeing significant outflows in May included Emerging Markets - Asia funds with -$5.57 billion in redemptions, Balanced (Stocks & Bonds) funds shedding -$3.54 billion, Macro funds with -$3.11 billion exiting and Equity Long Bias funds with -$1.81 billion in outflows.

On a percentage basis, the subsectors hardest hit were Emerging Markets - Asia (-3.25% of sector assets); Fixed Income funds (-1.70% of sector assets); Macro funds (-1.52% of sector assets); and Emerging Markets - Eastern Europe (-1.32% of sector assets).

For the fourth month in a row, the managed futures industry has had a better result, recording $1.79 billion in inflows in May, during which all four CTA subsectors had net inflows for the month.

"During the month of May, capital continued to ebb from Hedge Funds and flow into CTAs, though not in equal measure nor velocity. Thus far in 2022, the Managed Futures industry has grown its asset base by around $10.40 billion. A portion of which has undoubtedly come from the $77 billion investor flight from other Hedge Fund strategies," remarked Ben Crawford, Head of Research at BarclayHedge. "If there's anything surprising here it is that the pace of rotation into managed futures funds appears to be slowing when we might reasonably have expected to see an acceleration."

All four CTA subsectors tracked indicated net inflows in May. Systematic CTAs brought in $907.81 million (+0.26% of assets); Multi-Advisor Futures Funds added $794.77 million (+4.83% of assets); Discretionary funds saw $588.12 million in inflows (+2.79% of assets); and Hybrid funds added $294.10 million, (+1.42% of assets).?€?

12-Month Flow Trends

For the 12 months through May, the global hedge fund industry experienced $23.68 billion in inflows. A $258.08 trading loss over the period brought total industry assets to the $5.07 trillion figure as May ended,?€? up from $4.32 trillion a year earlier.

Multi-Strategy funds continued to lead the pack of hedge fund subsectors with $43.20 billion (+9.97% subsector assets). Sector Specific funds are up a combined $19.19 billion (+5.61% subsector assets) followed by Merger Arbitrage funds which have swollen to $11.79 billion (+13.48% subsector assets). On a proportional basis, Convertible Arbitrage funds have fared best over the past year, picking up $5.75 billion in new capital (+18.59% in assets).

Hedge fund subsectors with the largest 12-month dollar outflows were led by Fixed Income funds which have seen a combined -$23.32 billion in net redemptions (-2.55% of assets). Emerging Markets - Global funds have lost capital to the tune of -$16.33 billion (-8.15% of assets) and Macro funds became -$12.20 billion lighter (-6.09% of assets).

Percentage-wise, however, the worst hemorrhages have been seen amongst Emerging Markets - Latin America funds (-12.92% of assets) and Emerging Markets - Global funds (-8.15% of assets), followed closely by Macro funds with their losses previously noted.

Over the 12 months through May, the Managed Futures industry has sopped up an additional $4.02 billion in net inflows. 12-months' cumulative trading profits of $44.60 billion elevated industry assets to the $384.41 billion level, up from $339.94 billion a year earlier.

Three of the four CTA subsectors have benefited from net inflows over the trailing 12-month period. Discretionary CTAs have benefited most, both in absolute and relative terms, adding $3.49 billion (+22.64% of assets) over the trailing 12 months. Multi-Advisor Futures Funds have also prospered, netting an additional $2.48 billion (+18.28% of assets). Hybrid CTAs scooped up a new $1.26 billion, swelling their capital base by +7.11% of assets.

The lone subsector experiencing 12-month redemptions through May was Systematic CTAs which saw -$795.22 million in outflows. However, it should be noted that this amounted to an asset reduction of only 25 basis points.

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