NEW YORK (HedgeWorld.com)–Hedge funds in the S&P Hedge Fund Index posted negative performance in May and were barely positive for the year through May.
The S&P Hedge Fund Index returned negative 0.68% in May–with all sub-indexes also negative–and returned 0.59% year-to-date through May.
The worst-performing S&P hedge fund category in May was the S&P Directional/Tactical Index, which contains futures, global macro and long/short equity hedge fund strategies. That index fell 1.18% in May and is down 0.77% for the first five months of the year. Macro managers were hurt by a view that the U.S. Federal Reserve was moving to lessen market liquidity and that China was tightening as well, according to executives at Standard & Poor’s, which publishes the index.
Two separate but related indexes also were solidly negative in May. The S&P Equity Long/Short Index returned negative 1.04% and the S&P Managed Futures Index returned negative 1.63%. The Long/Short Index was hurt by non-U.S. long/short strategies, which were down 1.89% in May, while the U.S. long/short managers in the index returned negative 0.19%.
Year-to-date returns on the long/short equity indexes, which recently were launched, are not available, but the S&P Managed Futures Index was down 1.88% year-to-date through May.
The S&P Arbitrage Index fell 0.75% in May, dragged down by convertible arbitrage strategies, according to S&P. The Arbitrage Index was up 0.89% for the year through May. The category also includes equity market neutral and fixed-income arb strategies.
The S&P Event Driven Index, which contains merger arbitrage, distressed securities and special situations strategies, returned negative 0.13% in May and positive 1.65% January through May.
Meanwhile, the S&P 500 stock index returned 1.21% in May and 0.79% year-to-date.
Contact Robert F. Keane with questions or comments at: