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Global financial markets posted mixed performance in May, as many countries & economies began to emerge from the pandemic quarantine and inflationary pressures began to arise. Global equity markets were also mixed with gains in large cap and Energy sectors offset by weakness in Technology; European and Asian equities also gained. US interest rates were basically unchanged while inflationary pressures increased, the US dollar declined. Energy & Metals commodity gains were led by Gold, Silver and Oil. Hedge Funds and Risk Premia indices posted gains with the HFRX Global Hedge Fund Index gaining +0.38% and the HFRX Market Directional Index gaining +1.60% for May.
HFRX Equity Hedge Index posted a gain of +0.85% for May, from gains in Fundamental Growth and Value strategies. The HFRX Fundamental Growth Index posted a gain of +1.35% from gains from exposure to Emerging Markets which were partially offset by declines in mid-cap US equities. The HFRX Fundamental Value Index gained +0.61% from gains in exposure to large-cap US & Global equities. The HFRX Market Neutral Index gained +0.28% for the month from mixed performance in mean reverting, factor-based strategies and fundamental managers.
HFRX Event Driven Index was basically unchanged for May, with gains in Merger Arbitrage managers which were offset by Special Situations equity strategies. The HFRX Merger Arbitrage Index gained +0.40% as activity in global M&A deals continued during the period. The HFRX Special Situations Index posted a narrow decline of -0.04% from mixed performance in exposure to Global and Asian catalyst-driven, fundamental value equities.
HFRX Macro/CTA Index posted a gain of +0.53% for May, from gains in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index posted a gain of +1.11% as the US Dollar declined against most major currencies and commodities posted gains across Energy, Metals while Agriculturals were mixed. Macro Discretionary managers posted mixed performance from exposure to opportunistic Fixed-Income and global multi-asset strategies.
HFRX Relative Value Arbitrage Index posted a gain of +0.14% for May from gains in Multi-Strategy managers. The HFRX RV: Multi-Strategy Index posted a gain of +0.16% for the month as US yields were basically unchanged while European yields were mixed during the month. The HFRX Convertible Arbitrage Index posted a narrow decline of -0.08% as volatility remained low during the period.
Comments reference performance figures as of May 31, 2021