HFRX: Global Hedge Fund Index Up +0.46% in May

Jun 2 2016 | 9:21pm ET

Global financial markets presented hedge funds with a complicated mix of crosscurrents last month, as near-term interest rate increases by the U.S. Federal Reserve were coupled with concerns about the upcoming Brexit vote in Britain, a rising U.S. dollar, mixed economic data, a nascent recovery commodities recovery and a flattening yield curve.  

The average hedge fund posted gains of +0.46% in May, according to the latest reading of Hedge Fund Research’s HFRX Global Hedge Fund Index, while the HFRX Market Directional Index gained +1.46%. For the year to date, the Global Hedge Fund Index remains down -1.02%.

Highlights from the May results of HFR’s family of daily indices:

  • The HFRX Event Driven Index posted a gain of +2.67% for May, its second largest monthly return since January 2013, with contributions from Distressed/Restructuring and Special Situations equity activity. The HFRX Distressed Index posted a gain +2.69% for month, extending its strong performance from prior months to largest 3-month period since January 2003.
  • The HFRX Special Situations Index gained +2.74% from core positioning in Baxalta, Shire, Yahoo, EMC, TransCanada and Diamond Resorts. The HFRX Merger Arbitrage Index had a gain of +0.64% for month with core exposures to Comcast/DreamWorks, Huntington Bancshares/FirstMerit and Pinnacle Financial/Avenue Financial transactions. 
  • The HFRX Equity Hedge Index posted a gain of +0.44% for May as most U.S. sectors rose, while European and Emerging Markets had mixed performance. The HFRX Fundamental Value Index gained +0.78% from exposure to large-cap Industrial, Consumer and European equities. The HFRX Market Neutral Index posted a gain of +0.44% from gains in mean reverting, factor based strategies and fundamental managers. 
  • The HFRX Relative Value Arbitrage Index posted a decline of -0.11% for May, with contribution from Yield Alternative managers and Convertible and Credit strategies only partially offset by Credit managers. 
  • The rebound in energy infrastructure continued in May, as the HFRX MLP Index gained +3.45% for the month, bringing the 2016 gain for the index to +7.85%. This index booked a staggering 16.97% gain in April.
  • The HFRX Convertible Arbitrage Index posted a gain of +0.18%, while the HFRX Multi-Strategy Index declined -0.23% with mixed performance from Global Credit strategies. 
  • HFRX Macro/CTA Index posted a decline of -1.72% for May, with declines in systematic and Discretionary Fixed Income managers only partially offset by Emerging Markets strategies. The HFRX Emerging Markets Index posted a gain of +0.35% from exposure to Emerging Asia and Latin America regions, while the HFRX Systematic/CTA Index declined -3.19%. 

Established in 1992, HFR is a global leader in specializing in the indexation and analysis of hedge funds. The company produces the HFRI, HFRX and HFRU Indices, industry benchmarks for global hedge fund performance, and calculates over 100 indices ranging from industry-aggregate levels down to specific, niche areas of sub-strategy and regional investment focus.

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