Hedge Funds Add 5.68% In May

Jun 8 2009 | 12:40pm ET

Hedge fund had their best month in nearly a decade last month, according to the Hennessee Hedge Fund Indices.

“With hedge funds up 5.68%, May was the best month for hedge funds since February 2000, when the index was up 6.83%,” Lee Hennessee, managing principal of the Hennessee Group, said. “Gains were largely driven by arbitrage strategies. However, long/short equity managers, with reduced levels of exposure, also performed well, participating significantly in the market rally while maintaining hedges.”

The Hennessee Hedge Fund Index is now up 11.4% on the year. Arbitrage and event-driven funds jumped 6.01% in May and are up 14.51% through the first five months of the year. Global macro funds added 6.17% (10.05% year-to-date), while long/short equity funds rose 5.23% (10.13% YTD).

Asia-Pacific funds were the best-performing substrategy in May, adding a full 9% (12.21% YTD). Emerging markets also continued their comeback with an 8.62% return (16.89% YTD), while the year’s best performer so far, convertible arbitrage funds, added 8.61% (25.67% YTD).

Other strong performances were turned in by PIPEs and private financing funds (7.93% in May, 10.05% YTD), event-driven funds (7.9%, 18.6% YTD) and financial equities funds (7.66%, 13.94% YTD).


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