Hedge funds fell for a second consecutive month in May with a return of -0.4%, dragging year-to-date returns further into the red at -1.4%. A steeper than expected rise in US consumer prices in May raised concerns about aggressive interest rate hikes by the Federal Reserve to quell price pressures that could send the economy into recession.
Key highlights from the report:
- HFM’s Global Composite Index was down -0.4% in May and -1.4% year-to-date, while the HFM FoHF Composite Index declined -3.5% year-to-date.
- Billion-dollar club funds trailed smaller funds for the first time in 2022, reducing their lead over smaller funds in 2022 to 2.2%.
- Event-driven and fixed income/credit funds were the biggest drags on the month, down 1.0% and 1.0% respectively. Conversely, multi-strategy, macro and RV/arbitrage funds bucked the overall negative trend to post returns of 0.5%, 0.3% and 0.2% respectively.
- Asia Pacific was the poorest performing region in 2022 as China struggles to sustain its zero Covid model amid the emergence of new variants.
- Managed futures funds have seen their winning streak end at 5 months as they returned -0.8% in May, reducing 2022 YTD return to 9.1%; but remain the best performing top-level strategy in 2022.
- Macro funds have posted four consecutive months of positive returns since February 2022, the best run among top-level strategies.
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