With numbers for May now in from about two-thirds of the
funds reporting to the EuroHedge database, the full extent of
the impact on European hedge fund performance of a torrid month
in the markets is becoming clear.
With stockmarkets tumbling and risk aversion soaring on the
back of further escalations in the eurozone political and
financial crisis, hedge funds found themselves once again beset
by extreme levels of intra-day volatility and renewed systemic
Although the overall EuroHedge Composite index is showing an
estimated loss of only around 1.1% for May at this stage, the
overall median return masks many substantial outliers on both
the up and down sides – with huge dispersion between
the performance of different strategy areas in a wild month,
and between individual fund returns.
Managed futures strategies generally had a very strong
month, with most systematic trading programmes able to ride a