Hedge funds posted a strong May, besting the Standard & Poor’s 500 with a 1.44% return.
Hedge Fund Research’s HFRX Global Hedge Fund Index is now down just 0.2% on the year. The S&P 500 is down 3.8% after rising 1.3% last month.
Equity hedge was the best-performing strategy, returning 2.39% in May, though it remains down 0.17% year-to-date. Convertible arbitrage added 1.83% (it remains one of the worst-performing strategies of 2008, down 5.01% YTD) and macro 1.77%. The latter is the top strategy of the first five months of the year, with a 10.51% return.
Only one of the eight HFRX strategies was in negative ground in May: Distressed securities finished the month marginally lower with a 0.12% decline (down 3.28% YTD). The year’s worst-performing strategy, relative value arbitrage, was up a bit on the month, adding 0.11%, but remains down 6.5% on the year.