08/06/2010 Author: Shannon Hawthorne

Hedge fund sector suffers worst monthly performance since crisis

According to the index, Long/Short Equity Short Bias was the by far month’s best performing strategy, gaining 5.95%. CTAs Short Term and Long/Short Equity Statistical Arbitrage also performed well in May, gaining 1.81% and 0.2% respectively.

Last month also saw the HFRI Fund Weighted Composite Index fall by 2.26%, its worst monthly performance since November 2008. 

However, despite these losses, the Index showed that hedge funds still posted overall gains of 1.32% for the first five months of the year. 

Equity Hedge emerged as the worst performing strategy with May losses of 3.7%, despite gains in Short Biased and Equity Market Neutral strategies, as global equity markets suffered the consequence of increased risk aversion. 

Event Driven also had a difficult month, reporting losses of 2.2% as Distressed and Shareholder Activist strategies emerging as the weakest areas of performance. 

The Eurekahedge June 2010 preliminary report further highlighted the poor performance of hedge funds in May, with the Eurekahedge Hedge fund Index posting losses of 1.88%. 

However, like the HFRI Index, such losses were not enough to result in a negative performance year-to-date (YTD); rather, hedge funds performance for the first five months of 2010 remained positive at 1.3%, outperforming global markets by just under 9%. 

The Eurekahedge Long/Short Equities Hedge Fund Index reported the worst performance for May, with losses of 3.63%, while the Macro Hedge Fund Index boasted the best monthly gains, ending the month up 0.29%. 

The full Eurekahedge June 2010 report will be released on 15 June.