UMASS Amherst’s CISDM Equal Weighted Hedge Fund Index Up 0.18% in May

Jul 3 2017 | 7:23pm ET

UMass Amherst’s equal-weighted CISDM hedge fund index gained 0.18% in May, according to a flash update from the school on June 30, largely tracking with other hedge fund industry metrics showing gains for the month.

This was the 12th consecutive monthly gain for the measure, CISDM said, it’s longest winning streak since the 2008/09 global financial crisis. 

For the year to date through May 31, the measure is up 3.53%, according to the university, ahead of the 2.34% booked by Hedge Fund Research’s HFRX Global Hedge Fund Index through the same date. 

May and YTD performance of the full CISDM family of indices are as follows:

Index

May %

YTD %

CISDM Equal Weighted Hedge Fund

0.18

3.53

CISDM Convertible Arbitrage

0.05

4.49

CISDM Distressed Securities

-1.42

1.45

CISDM Equity Long/Short

0.01

3.51

CISDM Equity Market Neutral

-1.37

-0.47

CISDM Event Driven Multi-Strategy

0.41

3.93

CISDM Fixed Income Arbitrage

0.26

2.10

CISDM Global Macro

0.30

-0.97

CISDM Merger Arbitrage

0.76

3.10

CISDM China Long/Short Index

-1.59

-0.08

CISDM Fund of Funds Diversified

0.40

2.43

CISDM CTA Equal Weighted

0.33

0.97

 

The CISDM indexes are published by in conjunction with Morningstar by UMass Amherst’s Isenberg School of Management’s Center for International Securities and Derivatives Markets (CISDM), which conducts research into derivatives, alternative investments and asset and risk management. The database is among the oldest hedge fund and CTA database in the market, tracking qualitative and quantitative information for more than 5,000 hedge funds, funds of funds and CTAs since 1994.  


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