'Challenging' May Has Hedge Funds Down 1.7%

Jun 8 2011 | 10:54am ET

Credit Suisse Index Co. President Oliver Schupp called May "a challenging month for hedge fund managers." And was it ever, according to Schupp's indices.

All seven of the Dow Jones Credit Suisse hedge fund indices took a dive last month, pushing the Core Hedge Fund Index down 1.71%. Schupp blamed "relatively low volatility levels, higher intra-stock correlations and continued market sell-offs" for the "difficult trading environment.

May's losses wiped out April's gains and then some, leaving the Core index up just 0.87% on the year. By contrast, the Standard & Poor's 500 Index is up 7.8%.

Managed futures and global macro funds took it on the chin in May, dropping 4.4% (down 1.56% year-to-date) and 2.52% (down 0.95% YTD), respectively. Things weren't much better elsewhere: Long/short equity funds lost 1.58% (up 1.84% YTD), event-driven funds lost 1.29% (up 1% YTD) and emerging markets funds lost 0.97% (up 2.49% YTD).

Convertible arbitrage funds dropped 0.65% in May (up 1.89% YTD). Indeed, the best that can be said of the month's best performer—fixed-income arbitrage—is that the strategy was essentially flat, dropping just 0.03% on the month (up 2.17% YTD).

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