Modest index loss in ‘wild’ May hides big losers and winners

Fri Jun 10, 2011



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...

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