The Eurekahedge Hedge Fund Index lost 1.24% during the month, bringing the year-to-date (YTD) May return to 2.23%. In comparison the MSCI World Index was down by 9.32%.
Key highlights for May 2012:
- Hedge funds outperformed underlying markets by 8.08% in May.
- CTA/managed futures funds gain 2.60% in largely negative month, along with a 0.65% gain in the Mizuho-Eurekahedge Macro Index.
- Assets in macro hedge funds at historical high levels, cross US$140 billion for the first time.
- Nearly 350 new hedge funds have been launched in the first five months of the year.
- 920 hedge funds are up more than 10% YTD with the most prolific strategy amongst this group being long short equities.
- In addition 153 funds are up more than 20% and 10 funds are up more than 50%.
Main Indices
| Main Indices | May 2012* | 2012 Returns | 2011 Returns |
|---|---|---|---|
| Eurekahedge Hedge Fund Index | -1.24 | 2.23 | -3.76 |
| Eurekahedge Fund of Funds Index | -1.88 | 0.67 | -5.49 |
| Eurekahedge (Long-Only) Absolute Return Fund Index | -6.18 | 3.26 | -14.17 |
| Eurekahedge Islamic Fund Index | -2.77 | 2.65 | -3.46 |
May was marked by heightened risk aversion in the markets due to weak US economic data, intensifying concerns about the European debt crisis and political uncertainty in Europe. Many managers had indicated pessimistic views before May and their positions to that effect led to significant outperformance of 8.08% during the month. Investor sentiment remained on the edge from the start of the month and as political deadlock in Greece and concerns about Spanish banks led to sell-offs in equity markets and a weakening Euro.
Regional Indices
| Regional Indices | May 2012* | 2012 Returns | 2011 Returns |
|---|---|---|---|
| Eurekahedge North American Hedge Fund Index | -1.77 | 2.47 | -0.53 |
| Eurekahedge European Hedge Fund Index | -1.63 | 2.31 | -6.23 |
| Eurekahedge Eastern Europe & Russia Hedge Fund Index | -8.66 | -2.65 | -20.37 |
| Eurekahedge Japan Hedge Fund Index | -3.47 | -0.15 | -1.35 |
| Eurekahedge Emerging Markets Hedge Fund Index | -3.19 | 2.29 | -8.05 |
| Eurekahedge Asia ex-Japan Hedge Fund Index | -3.43 | 2.30 | -12.33 |
| Eurekahedge Latin American Hedge Fund Index | -1.44 | 4.46 | 2.27 |
Hedge funds in all regions witnessed negative returns for the month, albeit to a much lesser extent than global markets. European and Latin American hedge funds provided the most outperformance during the month, 11.79% and 12.04% respectively. Managers were able to reign in the losses by active hedges against currency declines and cautious portfolio positions. Losing positions included exposure to sectors linked to global growth such as energy, materials and financials. Positions in consumer goods, telecommunications and media proved to be helpful for most managers. North American and Asia ex-Japan hedge funds also registered losses of 1.77% and 3.43% respectively, beating their respective market indices by 4.50% and 7.41% respectively. The losses were primarily driven the by declining employment data from the US and reports of a slowdown in China as shown by slowing industrial production, falling trade and retail sales numbers respectively.
Strategy Indices
Most hedge fund strategy indices ended the month in negative territory, with long/short equity managers suffering the most losses. The Eurekahedge Long/Short Equity Hedge Fund Index was down 3.41% in May as global equity markets suffered declines through the month. The S&P500 lost 6.27%, the Tokyo Topix was down 10.90%, the FTSE100 declined by 7.27% while the Hang Seng finished lower by 11.68%. A number of managers also reported losing value on the Facebook IPO, showing that hedge funds were active participants in the highly anticipated public offering.
CTA/managed futures funds delivered excellent returns of 2.60% led by black box/quantitative trading managers. Trend-followers with long exposure to bonds and the USD, as well as those with short exposures to base metals and other commodities also reported gains for the month. Arbitrage hedge funds were up 0.26% with volatility arbitrage managers reporting gains of 1.67% on average.
| Strategy Indices | May 2012* | 2012 Returns | 2011 Returns |
|---|---|---|---|
| Eurekahedge Arbitrage Hedge Fund Index | 0.26 | 3.41 | 1.10 |
| Eurekahedge CTA/Managed Futures Hedge Fund Index | 2.60 | 2.02 | -2.18 |
| Eurekahedge Distressed Debt Hedge Fund Index | -2.54 | 1.71 | -2.37 |
| Eurekahedge Event Driven Hedge Fund Index | -2.23 | 2.39 | -4.86 |
| Eurekahedge Fixed Income Hedge Fund Index | -1.13 | 2.80 | 0.78 |
| Eurekahedge Long/Short Equities Hedge Fund Index | -3.41 | 1.62 | -6.90 |
| Eurekahedge Macro Hedge Fund Index | -0.52 | 0.71 | -1.24 |
| Eurekahedge Multi-Strategy Hedge Fund Index | -1.62 | 2.74 | -2.30 |
| Eurekahedge Relative Value Hedge Fund Index | -0.68 | 4.08 | 0.12 |
| Mizuho-Eurekahedge Indices | May 2012* | 2012 Returns | 2011 Returns |
|---|---|---|---|
| Mizuho-Eurekahedge Index - USD | -2.00 | 1.11 | -2.07 |
| Mizuho-Eurekahedge TOP 100 Index - USD | -1.07 | 1.85 | 1.87 |
| Mizuho-Eurekahedge TOP 300 Index - USD | -1.61 | 1.24 | 0.04 |
Eurekahedge indices are available for download from www.eurekahedge.com/indices/hedgefundindices.asp and are updated with the latest fund returns at 23:30 GMT every day. Index values and data can be downloaded for free and subscribers can download the full list of index constituents. Please contact indices@eurekahedge.com for more information.
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