Credit Suisse: May Dismal For Most Hedge Fund Strategies

Jun 3 2010 | 9:04am ET

May performance for the LAB Liquid Indices shows that hedge fund performance was negative across most strategies, according to Jordan Drachman, head of research for Alternative Beta Strategies at Credit Suisse.

"The Credit Suisse Liquid Alternative Beta Index generated negative performance in May, returning -2.64% for the month, bringing year-to-date performance to +0.27%. All four LAB sector indices also posted negative performance in May, suggesting that hedge fund managers across different strategies suffered as a result of the month's increased market volatility," says Drachman.

However, not all news for hedge funds was bad says Drachman--at least not when compared to the broader markets.

"Despite negative returns, hedge funds appear to have outperformed global equity markets, as represented by the MSCI World Index, which lost -9.91% in May and is down 7.59% year-to-date," he says. 

  May '10 April '10 YTD
Credit Suisse Liquid Alt. Beta Index -2.64% 1.14% 0.27%
LAB Long/Short Liquid Index -3.67% 1.44% 0.74%
LAB Global Macro Liquid Index -1.47% 1.52% -0.68%
LAB Event Driven Liquid Index -3.17% 0.92% 1.23%
LAB Merger Arbitrage Liquid Index -0.81% 0.38% 1.85%

(Source: The Credit Suisse Liquid Alternative Beta Index)

LAB indices seek to replicate the aggregate return profiles of alternative investment strategies using liquid, tradable instruments that are selected and weighted using an objective and transparent rules-based methodology. An algorithm determines the appropriate factors and weightings employed in seeking to replicate the returns of specific hedge fund strategies.


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