Hedge Funds Fall 2.73% In May, Credit Suisse Says

Jun 9 2010 | 11:30am ET

Hedge funds—except those shorting a plummeting stock market—took a beating in May, according to early results from the Credit Suisse/Tremont Hedge Fund Index.

The average hedge fund dived 2.73% last month, cutting the index’s year-to-date return to just 1.52%. But it could have been worse: May’s misfortune sent four of the Credit Suisse Index Co.’s 13 strategy and substrategy indices into the red on the year.

Indeed, all of those strategies save dedicated short-bias took a hit last month. Managed futures funds “led” the way with a 4.42% decline (down 0.58% year-to-date). Long/short equity funds didn’t do much better, losing 4.08% (down 1.12% YTD), followed by equity market-neutral funds, down 3.87% (down 4.15% YTD) and event-driven multi-strategy funds, down 3.67% (up 2.86% YTD).

With the Standard & Poor’s 500 Index plummeting almost 8% and the MSCI World Index dropping almost 10%, it’s no surprise to see short-bias have a strong month, up 6.03%. The strategy is still the worst-performer on the year, however, down 7.63%.

Other “winners” included global macro, which dropped just 0.82% on the month (up 3.41% YTD), with managers benefitting from their liquidity amidst May’s market volatility. Fixed-income arbitrage funds also did relatively well, dropping only 0.76% and claiming the mantle of best strategy in the first five months of 2010 with a 4.57% return.

Multi-strategy funds were down 2.14% in May (up 1.35% YTD), risk arbitrage funds were down 2.37% (down 1.11% YTD), distressed funds were down 2.63% (3.98% YTD), event-driven funds were down 3.23% (up 3.3% YTD), convertible arbitrage funds were down 3.4% (up 1.7% YTD) and emerging markets funds were down 3.65% (down 0.11% YTD).

Credit Suisse’s figures are based on 78% of the assets in its index reporting.


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