Hedge funds posted their fifth consecutive month of gains this year, up 0.31 per cent during the month of May, according to the latest Index Flash Update from EurekaHedge. On a year-to-date basis, managers gained 3.25 per cent while underlying markets are up 7.45 per cent.
Meanwhile, underlying markets as represented by the MSCI AC World Index (Local) were up 1.09 per cent over the same period. Equity markets performed well this month with strength led by developed markets. Encouraging macroeconomic data from Europe and Japan buoyed economic recovery sentiments with growth in manufacturing activity adding to much optimism. On the other hand, data coming out of the US was rather lukewarm with weaker than expected inflation figures and jobs data.
Among developed mandates, Japanese hedge funds were up 1.88 per cent, followed by European peers with gains of 0.72 per cent. On the other hand, North American hedge fund managers posted losses this month, declining 0.33 per cent. On a year-to-date basis, European managers were up 4.23 per cent followed by Japanese and North American managers who posted gains of 3.43 per cent and 2.21 per cent respectively.
CTA/managed futures hedge fund managers gained a modest 0.11 per cent in May with underlying FX-focused hedge funds leading much of the strength, gaining 0.32 per cent for the month. On a year-to-date basis, CTA/managed futures hedge fund managers declined 0.36 per cent with commodity-focused hedge funds leading much of the weakness, retracting 2.01 per cent.
Emerging market mandates gained 0.17 per cent for the month with strength led by underlying Asia ex-Japan hedge funds. Frontier markets as represented by Eurekahedge Frontier Markets Hedge Fund Index was up 1.33 per cent for the month.
The Eurekahedge Long Short Equities Hedge Fund Index was up 0.52 per cent per cent during the month with strength led by underlying equity long-bias hedge funds which gained 0.70 per cent over the same period. On a year-to-date basis, long/short equities hedge fund managers gained 5.02 per cent with strength led by underlying equity long bias hedge fund managers (+7.40 per cent year-to-date).
Asia ex-Japan mandated hedge funds were up 0.91 per cent during the month with strength led by underlying Greater China and India hedge fund managers, who were up 1.99 per cent and 0.19 per cent over the same period respectively. On a year-to-date basis, Greater China and India mandated hedge funds posted impressive gains, up 11.04 per cent and 15.31 per cent respectively.
Among volatility-focused hedge funds, short volatility hedge funds topped the table for May, gaining 0.68 per cent while long-volatility hedge funds posted the steepest decline, down 0.38 per cent. On a year-to-date basis, short volatility hedge funds gained 4.90 per cent while tail risk hedge funds were down 6.76 per cent.