RBC: Convertible Arb. Funds Up 44% Through May

The average hedge fund rose by 3.59% last month, according to RBC Capital Markets.

May’s advance pushed the RBC Hedge 250 Index to 7.01% on the year. Just one of RBC’s nine strategy subindices, equity market-neutral funds, lost ground on the month, and those just barely: Such funds lost 0.04% in May (up 1.44% year-to-date).

Convertible arbitrage funds continued their remarkable run in 2009, soaring another 9.45% after April’s 10.4% rise.  The strategy is now up 44.6% on the year, nearly three times the return of its closest competitor. Mergers and special situations funds are up 16.47% in the first five months of the year following a 3.19% rise last month.

Equity long/short funds returned 4.28% last month (7.26% YTD), multi-strategy funds 3.71% (6.36% YTD), credit funds 3.52% (2.92%) and fixed-income arbitrage funds 3.25% (7.25% YTD).

In other hedge fund index news, the Credit Suisse Index Co. revised its May performance up from preliminary results released last week. The Credit Suisse/Tremont Hedge Fund Index returned 4.06% last month, led by emerging markets funds (6.96%, 12.43% YTD) and convertible arbitrage funds (5.81%, 19.12% YTD). The Credit Suisse index is up 6.72% on the year.