HFRX: Global Hedge Fund Index Up 0.26% In May

Jun 3 2015 | 10:33am ET

Hedge funds were confronted with global financial market volatility during May, with the U.S. dollar booking broad gains while equities, fixed income and commodities traded in wide ranges.

The average fund returned 0.26% during the month, according to the latest reading of Hedge Fund Research’s HFRX Global Hedge Fund Index, while the HFRX Absolute Return Index gaining +0.59%. For the year to date, the indices are up 2.55% and 2.40%, respectively.

Among strategies, returns were mixed for the month. The HFRX Macro/CTA Index posted a gain of +0.69%, bringing its YTD tally to 1.34%, with contributions from Discretionary Global Fixed Income, Emerging Markets and Global Macro strategies. However, pressure on quantitative, trend-following, systematic CTAs continued as the HFRX Macro: Systematic Diversified/CTA Index declined -0.10% for the period.

The HFRX Event Driven Index posted a gain of +0.48%, with contributions from Merger Arbitrage, Distressed/Restructuring and Special Situations equity strategies, and is now up 2.45% for the year through May 31, according to HFR’s report.  

The HFRX Relative Value Arbitrage Index returned +0.20%, led by credit multi-strategy managers and Convertible Arbitrage. The HFRX Multi-Strategy Index posted a gain of +0.26%, while the HFRX Convertible Arbitrage Index posted a gain of +0.10%. For the year to date, these three indices are up 2.79%, 3.26% and 2.76%, respectively. 

HFR’s HFRX Equity Hedge Index, on the other hand, fell -0.18% in May. Fundamental Value strategies were in the green by 0.34%, but it was not enough to offset declines in Growth and Market Neutral strategies. The HFRX Fundamental Value Index gained +0.34% with contributions from positioning in European and U.S. large cap stocks in the Financial and Industrial sectors, partially offset by declines in Emerging Markets. 

The HFRX Fundamental Growth Index fell 1.21% on weakness in Latin America and Emerging Asia strategies, although it remains up 7.30% YTD, while the HFRX Equity Market Neutral Index dipped 0.45% on mixed performance of mean reverting, factor based strategies and fundamental managers, and is now down 0.24% YTD, noted HFR.

Established in 1992, HFR produces the HFRI, HFRX and HFRU Indices, industry benchmarks for global hedge fund performance. HFR calculates over 100 indices of hedge fund performance ranging from industry-aggregate levels down to specific, niche areas of sub-strategy and regional investment focus.

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