NEW YORK, June 8 /PRNewswire-FirstCall/ -- Early estimates indicate the Credit Suisse/Tremont Hedge Fund Index ("Broad Index") will experience its first down month since February 2009, posting -2.73% in May (based on 78% of assets reporting).
Key highlights for the month:
- Estimates indicate that May marked the first month of negative returns for hedge funds since February 2009. The Credit Suisse/Tremont Hedge Fund Index lost an estimated 2.73% for the month. The index remains up 1.52% year-to-date. Despite overall losses, based on comparable indices hedge funds outperformed global equity markets, which finished down -9.91% for the month, as managers reduced portfolio exposures and risk levels in May.
- Event Driven funds lost an estimated 3.23% in May as equity-oriented managers declined with global equity markets. While distressed and merger arbitrage funds performed slightly better, market sell-offs and indiscriminate levels of correlation across asset classes made it difficult for managers to generate positive performance in May.
- Global Macro returned -0.82% in May, outperforming most of the other sectors in the Index as managers benefited from the overall liquidity of their holdings and their tactical ability to reposition their portfolios in the midst of market volatility. Gains in the space were driven by short euro and equity trades.
- Long/Short Equity funds struggled to find profitable positions amid the global equity market sell-offs in May and returned an estimated -4.08% for the month. Conversely, Dedicated Short Bias was the only strategy to lock in gains last month, finishing up an estimated 6.03%.
CS/Tremont Hedge Fund Index
Dedicated Short Bias
Equity Market Neutral
Event Driven Multi-Strategy
Fixed Income Arbitrage
Barclays Capital Aggregate Bond Index
DJ-UBS Total Return Commodities Index
Estimates are based on 78% of assets reporting; final May performance will be published June 15th on Bloomberg and online at www.hedgeindex.com. For a complete description of the Credit Suisse/Tremont Hedge Fund Index, please see the index rules available at www.hedgeindex.com.
Credit Suisse Tremont Index LLC is the joint venture company of Credit Suisse Index Co., Inc., a subsidiary of Credit Suisse Alternative Capital, Inc., and Tremont Group Holdings, Inc. Credit Suisse Tremont Index LLC is headquartered at 11 Madison Avenue, New York, NY 10010-3629.
All data was obtained from publicly available information, internally developed data and other third party sources believed to be reliable. Credit Suisse has not sought to independently verify information obtained from public and third party sources and makes no representations or warranties as to accuracy, completeness or reliability of such information.
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