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% |