Provisional estimates for the EuroHedge Composite Index show an overall loss for European hedge funds of around 0.6% in May’s wildly volatile markets, although the composite median result masks many big losses and a few substantial gains among individual funds.
With numbers for May so far in from about 60% of the funds that report to the EuroHedge database each month, the medians for most strategies are showing negative returns for the month – with only credit, equity market-neutral and quant strategies, event-driven and fixed-income showing small positive returns.
As was to be expected, managed futures funds fared worst by far – with the rout in several major commodities markets in early May taking a big toll on most trend-following CTA trading strategies, most of which have significant exposure to commodities.
The medians for managed futures funds are currently showing provisional losses for the month of over...