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June 21, 2004 at 08:00 PM
NEW YORK (HedgeWorld.com)–May wasn’t a stellar month for hedge fund managers. Still, managers in five of the nine Credit Suisse First Boston/Tremont* Hedge Fund Index categories had positive returns for the month.
The overall index was down 0.23% in May, and has produced meager 2.58% return for the year through May 31. Oliver Schupp, president of CSFB Tremont Index LLC, said in a statement that market conditions were driven by fears of interest rate hikes, terrorist attacks, rising oil prices and a slowdown in China.
The hedge fund index performed poorly in comparison with the Standard & Poor’s 500 stock index, which was up 1.37% in May. The Dow Jones Industrial Index underperformed the CSFB index for the month with a loss of 0.36%.
Shorting some of those blue chip stocks might have paid off for dedicated short-bias managers, who were the top performers last month. The strategy returned 0.76% in May. In April, the asset class led the pack as well returning 4.23% (see ). So far this year, short-bias strategies are up 0.90%.
Other strategies with positive performance in May were: fixed-income arbitrage, up 0.63%; equity market neutral, up 0.21%; event-driven, up 0.09%; and global macro, up 0.05%. The risk arbitrage and distressed sub-strategies also performed well, with returns of 0.44% and 0.26%, respectively. Distressed managers, which fall under the event-driven investment category, had the best performance for the year-to-date period with a return of 4.89% through May 31, according to index officials.
Event-driven multi-strategy, the third event-driven sub-strategy, was one of the losing strategies in May, posting a negative 0.09% return. Others having difficulty in the current markets were: convertible arbitrage, down 1.33%; emerging markets, down 1.81%; long/short equity, down 0.36%; managed futures, down 1.05%; and multi-strategy, down 0.13%.
The CSFB/Tremont Investable Hedge Fund Index returns differed in that fixed-income arbitrage was the leading strategy for the month and year-to-date. The index category in May was up 0.43% and is up 2.88% for the year.
