The Dow Jones Credit Suisse Hedge Fund Index, which analyses 10 sub strategies globally, still finished up by 0.42 per cent in May, despite the correction to managed futures as well as a continuing poor run for dedicated short-bias strategies.
At the end of April, managed futures was the best performing sub-category, up 7.29 per cent in the first four months of the year, but that is back to a 1.94 per cent gain in five months since the strategy lost 4.98 per cent in May.
“Managed futures managers, in general, ended the month of May with losses. Losses were more prominent among trend followers as markets frequently reversed as they reacted to the mixed signals and actions coming out of central banks,” Credit Suisse said in its commentary on the index.
Fixed income proved the biggest detracting sector for the month for the strategy as the United States indicated a planned tapering of its quantitative easing policy sooner than expected and fixed income positions were unwound.
Event-driven is now the best performing strategy in the index year to date, up 8.44 per cent, while dedicated short bias has continued its downward fall, dropping by 13.06 per cent in the year to date.
Overall, the index is now up 5.43 per cent in the year to date, with an average annualised performance of 8.76 per cent.
