Eurekahedge: Hedge Fund Index Climbs 0.31% in May

Jun 15 2017 | 11:00pm ET

Hedge funds booked their fifth consecutive month in the plus column in May, according to a flash reading of Eurekahedge’s Hedge Fund Index, although they again underperformed broader market measures for the month. 

The company’s widely followed measure gained 0.31% for May, compared with a 1.09% gain in the MSCI AC World Index (Local) over the same period, Eurekahedge said in a statement earlier this week. For the year to-date, hedge funds are up 3.25% while underlying markets have gained 7.45%.

Key highlights from Eurekahedge’s May 2017 report:

  • Among developed mandates, Japanese hedge funds were up 1.88%, followed by European peers with gains of 0.72%. On the other hand, North American hedge fund managers posted losses this month, declining 0.33%. On a year-to-date basis, European managers were up 4.23% followed by Japanese and North American managers who posted gains of 3.43% and 2.21% respectively.
  • CTA/managed futures hedge fund managers gained a modest 0.11% in May with underlying FX-focused hedge funds leading much of the strength, gaining 0.32% for the month. On a year-to-date basis, CTA/managed futures hedge fund managers declined 0.36% with commodity-focused hedge funds leading much of the weakness, retracting 2.01%.
  • Emerging market mandates gained 0.17% for the month with strength led by underlying Asia ex-Japan hedge funds. Frontier markets as represented by Eurekahedge Frontier Markets Hedge Fund Index was up 1.33% for the month.
  • The Eurekahedge Long Short Equities Hedge Fund Index was up 0.52%% during the month with strength led by underlying equity long-bias hedge funds which gained 0.70% over the same period. On a year-to-date basis, long/short equities hedge fund managers gained 5.02% with strength led by underlying equity long bias hedge fund managers (+7.40% year-to-date).
  • Asia ex-Japan mandated hedge funds were up 0.91% during the month with strength led by underlying Greater China and India hedge fund managers, who were up 1.99% and 0.19% over the same period respectively. On a year-to-date basis, Greater China and India mandated hedge funds posted impressive gains, up 11.04% and 15.31% respectively.
  • Among volatility-focused hedge funds, short volatility hedge funds topped the table for May, gaining 0.68% while long-volatility hedge funds posted the steepest decline, down 0.38%. On a year-to-date basis, short volatility hedge funds gained 4.90% while tail risk hedge funds were down 6.76%.

Eurekahedge’s data was based on 40.62% of funds which have reported May 2017 returns as at 13 June 2017. The company tracks asset flows, hedge fund performance and regional key trends across the hedge fund universe, tracking more than 130 data points on more than 24,000 alternative funds in its database.

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