The Eurekahedge Hedge Fund Index lost 1.24% in May, outperforming underlying markets (as measured by the MSCI World Index) by 8.08%.
The May totals bring the hedge fund index’s year-to-date returns to 2.23%.
CTA/managed futures funds provided a ray of light in an otherwise gloomy month, gaining 2.60%. Arbitrage funds also ended the month in the black, adding 0.26%.
Otherwise, it was a sea of red ink, with the worst performance put in by long/short equities, down 3.41%; followed by distressed debts funds, down 2.54% and event-driven funds, down 2.23%. Also losing ground in May were multi-strategy funds, down 1.62%; fixed-income funds, down 1.13%; relative value funds, down 0.68%; and macro funds, down 0.52%.
Year to date, however, the picture is brighter: all strategies remain in positive territory, led by relative value funds (up 4.08%) and arbitrage funds (up 3.41%).
All regional funds were down in May, led by Eastern Europe and Russia funds which plummeted 8.66%. Japan funds lost 3.47%, Asia ex-Japan funds lost 3.43% and emerging markets funds were down 3.19%. North American funds shed 1.77%, European funds lost 1.63% and Latin American funds lost 1.44%.
Again, the YTD picture is brighter, with some regions posting gains, led by Latin American funds which are up 4.46%. The only losers in yearly terms are Eastern Europe and Russia (down 2.65%) and Japan (down 0.15%).
Eurekahedge reports that assets in macro hedge funds were at historical high levels in May, surpassing US$140 billion for the first time, and the industry has expanded to the tune of 350 new funds so far in 2012.
The firm's data shows 920 funds are up over 10% YTD, led by long/short equities; 153 funds are up more than 20%; and 10 funds are up more than 50%.
Funds of hedge funds were down 1.88% in May but up 0.67% YTD.