The Credit Suisse/Tremont Hedge Fund Index lost 2.76 per cent in May, its lowest performance since November 2008.
Nine out of ten strategies in the index posted negative returns in May as market volatility increased amid continued European sovereign risk fears.
Dedicated short bias gained 5.84 per cent and was the only strategy to post positive returns for the month. This positive performance was characteristic for the short-oriented strategy which typically outperforms when markets are down.
Global macro was the second-best performer, finishing down 0.63 per cent for the month as managers benefited from their ability to perform tactical trades in primarily liquid instruments.
Fixed income arbitrage also performed well relative to other strategies as managers continued to reduce their risk and leverage levels while staying active in the market.
Directional strategies largely struggled to find profitable positions amid the market volatility and the largest drag on performance was caused by exposure to cyclical sectors.
