eVestment | HFN Industry Release: May 2012

Date: Wednesday, June 6, 2012
Author: News Release

Hedge Funds Down in May, Investor Allocations in 2012 Indicate Just Caution

  • May 2012 was very similar to September 2011 in that Europe’s sovereign crisis was a primary focus and equity and commodity markets were severely impacted as investors moved to “safer” assets, resulting in U.S. Treasury yields falling and the dollar rising against all major currencies. In that environment FX strategies performed well, and despite being negative, credit led by funds focused on government, securitized assets (primarily mortgages), managed futures and macro strategies all did well on a relative basis. Additionally, larger funds performed noticeably better across the strategy spectrum.
  • Early reporting funds for May are showing a median return of -0.26%, significantly outpacing the S&P 500 Total Return Index’s -6.01%, however regression estimates for the industry point to a decline of -2.01%.
  • May performance, as anticipated, appears to have been led by macro and managed futures strategies and funds focused on currency markets. Credit funds have again outperformed equity focused strategies and emerging markets exposure experienced higher losses than developed markets.
  • With difficult to manage global scenarios persisting into June, it is important to note that recent hedge fund investor flows appear to have been placed well for the current environment. Investor flows through April 2012 indicated that the vast majority of net inflows to the industry have been going to credit, macro and commodity strategies as well as more diversified multi-strategy funds. Investors have pulled a significant amount of assets from long/short equity, event driven and emerging market strategies in 2012.
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