Hedge funds posted negative returns in May with the HFRX Global Hedge Fund index closing down 1.7%. Funds protected capital as risk markets sold off steeply. The S&P 500 index ended the month down 6.0%, the MSCI World (in USD) fell 8.5%, the euro (in USD) lost 6.6% and the DJ UBS Commodity index was down 9.1% on the month. Year to date through the end of May the HFRX Global index is up 1.5%.
Anthony Lawler, Portfolio Manager at GAM, said: “May was a challenging month for investors with the market re-pricing lower, which resulted in a highly correlated sell-off in risk assets and a rotation into perceived safe-haven assets such as the US dollar, German Bunds, gilts and US Treasuries. In this type of highly correlated sell-off month it is typically difficult for fundamental investors to make money.”
The one hedge fund strategy grouping that posted positive returns was global macro, including trend followers. The HFRX Macro index was up 0.4% while the NewEdge CTA index gained 2.9%. Equity hedge, event driven and relative value strategy groups were down 3.1%, 2.0% and 1.7% respectively for May, according to HRFX performance data. Lawler added, “Global macro strategies managed to deliver positive performance in aggregate and trend followers were up over 2% partly through holding long positions in US Treasuries, gilts and the US dollar against the euro. The ability of global macro managers and trend followers to generate positive performance in a month like May is very valuable for our investors.”