HFRI: Hedge Funds Down 1.28% In May

Jun 8 2011 | 10:04am ET

Hedge funds lost an average of 1.28% in May, their first losing month in nine and their largest drop in exactly one year, according to figures from Hedge Fund Research.

The decline leaves the HFRI Fund Weighted Composite Index up 1.92% on the year. Losses last month were widespread, with only seven of the 28 strategies and substrategies tracked by HFRI above water in May.

Systematic diversified funds suffered the worst month, losing 3.65% (down 1.17% year-to-date), followed by market defensive funds of funds (down 3.34% in May, down 2% YTD) and energy and basic materials funds (down 3.18%, up 0.28% YTD). Among major strategies, macro funds fell 2.54% (down 0.69% YTD), emerging markets funds fell 1.97% (up 0.77% YTD), equity hedge funds fell 1.08% (up 2.48% YTD) and event-driven funds fell 0.47% (up 4.27% YTD).

Funds of hedge funds lost 1.46% on the month (up 0.66% YTD).

The much-less numerous winners were led by asset-backed hedge funds, which added 1.06% (5.72% YTD). Technology and healthcare funds rose 0.71% (7.79% YTD) and short-bias funds 0.31% (down 7.64% YTD). Relative value funds were up 0.27%.


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Editor's Note