CTAs fly, equity strategies dive in May market mayhem

Fri Jun 15, 2012



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 risk fears.

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 relatively...

ISSN: 2151-1845 / CDC10004H

TAKE A FREE TRIAL

The full contents of this article are only available to active EuroHedge subscribers and trialists.

To continue reading please,
take a free trialsubscribe or log in to EuroHedge.

Subscribe

Subscribers have unlimited access to all current content, including hedge fund performance Live League Tables. Start your subscription today - click on the button below.

Subscribe now