GREENWICH, Conn. (HedgeWorld.com)–Hedge funds in the Van Global Hedge Fund Index staged a rally in May, rising 0.9% collectively and giving the broad index a 0.2% return year-to-date through May 31.
Falling long-term interest rates, rising equity markets and a strengthening dollar all helped managers in the Van index enjoy a decent month, said VAN Vice President Kevin Campbell. “Those managers with a directional bias took advantage of trends in these areas, among others,” he said.
Among those others was a currency play on the European Union constitution. “?? 1/2 [T]he long U.S. dollar?? 1/2 short euro trade was particularly profitable as concerns about the possible (and eventual) rejection of the European constitution by French and Dutch voters led to a change of more than 4% in the spot price between the two currencies from the beginning of May to month-end,” Mr. Campbell said.
Directional strategies overall earned 2% in May, according to the Van index. Macro fund managers returned 1.3%, market timing funds 0.8% and futures funds 2.4%.
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Long/short equity managers who focus on shorts were hurt by the improving equity markets in May. The Standard & Poor’s 500 stock index, for instance, rose 3.18% last month, while the MSCI World Equity Index was up 1.5%. Short-selling specialists in the Van index fell 4.1% in May, the worst performance among the various strategies tracked by the index.
Convertible arbitrage funds added to their negative performance thus far in 2005, falling 1.4% in May.