No Winners In May, According to RBC Index

Jun 16 2010 | 12:10pm ET

Hedge funds dropped 2.42% in May, according to RBC’s Alternative Assets Group.

The investable RBC Hedge 250 Index remains barely in positive territory after May’s beating, by some measures the worst month for hedge funds in a year-and-a-half. All nine of RBC’s strategy indices were in the red, and five of them now find themselves down for the year.

One indicator of how bad the month was: Fixed-income arbitrage funds were the best performer, dropping a mere 0.41% (up 6.72% year-to-date). The next best strategy was multi-strategy, which shed 1.26% on the month (up 1.84% YTD).

Mergers and special situations funds, by contrast, took a steep fall, dropping by an average of 3.63% (up 1.76% YTD). Equity long/short funds were also battered, falling 3.24% and, unlike special situations funds, unable to console themselves with a positive year-to-date return: The strategy is down 1.01% through May.

Credit funds lost 2.44% last month (up 3.87% YTD), equity market neutral funds lost 1.71% (down 1.25% YTD), macro funds lost 1.62% (down 0.09% YTD), managed futures funds lost 1.55% (down 1.49% YTD) and convertible arbitrage funds lost 1.46% (down 2.9% YTD).

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