Hedge funds struggle through May
Hedge fund strategies found the going tough in May due to the combination of sharply declining share markets, losses on the commodities market and struggling bond markets, according to the latest EDHEC Risk Institute analysis.
It said that in such highly adverse conditions, none of the hedge fund strategies, except for short selling, managed a positive return.
The analysis said that May had been marked by a sharp decline in the stock market with the S&P 500 index registering its most severe loss (-7.99 per cent) since it began to recover in early 2009 and with implied volatility “skyrocketing” past the 30 per cent market after doubling over the past two months.
The EDHEC analysis said that commodities had been even more seriously affected, with the market registering an 11.23 per cent loss, which negated the gains recorded in the last market.
As well, the analysis noted that for the first time in 18 months, affected by the negative performance of both convertible bonds and the credit spread, the convertible arbitrage strategy had failed to generate a profit, while May had also proved to be the worst since October 2008 for the emerging market strategy.
AUTHOR
Mike Taylor
Recommended for you
BlackRock Australia plans to launch a Bitcoin ETF later this month, wrapping the firm’s US-listed version which is US$85 billion in size.
Financial advisers have expressed concern about the impact including private market exposure is having on their tracking error budget, according to MSCI.
State Street will restrict its membership of global climate alliance Net Zero Asset Managers after the organisation dropped its flagship 2050 goals amid ESG backlash from the US.
Betashares has launched a global shares and a global infrastructure ETF as part of the firm’s strategic expansion strategy to support financial advisers in building more diversified portfolios.
