Hedge Fund Returns Dip Negative in May

12 Jun

Hedge Fund Returns Dip Negative in May

Overall hedge fund industry returns dipped negative in May after a four-month string of positive results to start off the year, according to the just-released May 2019 eVestment hedge fund performance data. Aggregate industry performance stood at -1.55% in May, with year-to-date (YTD) performance positive at +4.77%.

Equities created much of the pain for the industry during May. Among primary markets, Equity strategies fell sharply in May, coming in at -2.61%. YTD returns are still positive at +6.05%. Among primary strategies, Event Driven – Activist hedge funds and Long/Short Equity funds saw declines as well, of -3.16% and -2.71% in May respectively. These strategies are also still firmly in positive territory YTD, at +4.50% and +6.88% respectively.

Some other interesting points from the May

  • Among primary markets, Volatility strategies were best positioned to endure the difficult market environment in May. The group gained an average of +1.49% in May and are +4.22% YTD.
  • Among primary strategies, Quantitative Directional Equity funds, Distressed funds and Origination & Financing funds were all positive for May, but just barely.
  • May was a tough month for many managed futures strategies, led to the downside by the group of larger funds. Managed futures funds as a group lost an average of -1.20% in May and the 10 largest reporting products declined an average of -2.59%.
  • From a regional perspective, China focused funds declined an average of -7.51%, but the group is still up over 10% YTD 2019. Russia focused funds slipped into negative territory in May as well, at -0.30%, but YTD results are still strong at +11.09% for these funds.

The full May 2019 eVestment hedge fund performance data is below. Please visit the eVestment Research Reports section to download full monthly and quarterly reports.

Industry Benchmarks May YTD 2019 2018 2017
Hedge Fund Aggregate -1.55% 4.77% -5.08% 8.94%
50% MSCI World/50% Citi WGBI -2.03% 6.48% -4.60% 14.75%
S&P 500 -6.35% 10.74% -4.38% 21.83%
Primary Markets May YTD 2019 2018 2017
Volatility/Options Strategies 1.49% 4.22% -2.40% 4.81%
Commodities 0.71% 3.81% -6.07% 0.52%
FX/Currency 0.04% 0.60% 0.76% -3.46%
Broad Capital Structure 0.00% 6.16% -3.41% 8.88%
Broad Multi-Market -0.55% 3.41% -3.83% 4.50%
Fixed Income/Credit -0.57% 3.00% 0.00% 6.00%
Broad Financial Derivatives -0.89% 2.70% -5.52% 2.44%
Equity -2.61% 6.05% -7.50% 13.46%
Primary Strategy May YTD 2019 2018 2017
Quantitative Directional Equity 0.76% 5.56% -4.73% 10.45%
Distressed 0.67% 5.07% -0.31% 6.64%
Origination & Financing 0.61% 3.32% 4.99% 6.69%
Directional Credit -0.08% 3.40% 0.66% 5.24%
Multi-Strategy Credit -0.10% 3.08% 0.03% 5.70%
Market Neutral Equity -0.19% 0.24% -3.21% 3.53%
Relative Value Credit -0.28% 3.39% -1.02% 5.57%
Event Driven -0.42% 4.39% -1.90% 7.42%
Macro -0.95% 2.21% -2.93% 4.02%
Managed Futures -1.20% 2.97% -6.06% 2.75%
Multi-Strategy -1.31% 3.36% -3.38% 6.90%
Convertible Arbitrage -1.34% 4.48% -2.28% 5.76%
Long/Short Equity -2.71% 6.88% -7.01% 12.15%
Event Driven – Activist -3.16% 4.50% -10.30% 10.89%
Prominent Universes by Size May YTD 2019 2018 2017
Ten Largest Hedge Funds -0.80% 2.70% 2.36% 5.03%
Ten Largest Multi-Strategy -0.61% 3.00% -2.57% 6.40%
Ten Largest Macro -0.62% 2.25% 2.13% 2.24%
Ten Largest Long/Short Equity -1.36% 2.81% -3.81% 8.54%
Ten Largest Managed Futures -2.59% 3.56% -7.48% 3.86%
Economic Development May YTD 2019 2018 2017
Emerging Markets -2.35% 5.53% -10.84% 19.55%
Country Exposure May YTD 2019 2018 2017
India 1.59% 2.87% -16.23% 32.87%
Brazil -0.01% 4.08% -2.26% 15.13%
Russia -0.30% 11.09% -13.20% 13.17%
Japan -1.53% 1.27% -8.02% 13.77%
Asia ex-Japan -4.27% 2.79% -11.33% 21.76%
China -7.51% 10.03% -16.63% 34.76%