News Digest: Hedge funds show mixed fortunes in May
June 20, 2023
Volatility in the US banking sector caused the hedge funds to post a mixed bag performance in May with financial sector and energy posting declines while technology and AI surged. The HFRI 500 Fund weighted composite index fell 0.2% as managers navigated banking, energy and tech volatility with performances led by relative value arbitrage and macro strategies.
However, the drop in event-driven strategies offset gains relative-value strategies to render the HFRI fund weighted composite index, which also dropped by 0.2%. Performance dispersion widened during the month as the top-10 advanced by an average 6.7% while the bottom ten fell by an average 7.1%. This dispersion of 13.8% was higher than the 10.9% seen in April.
A report said fixed income based, interest rate sensitive strategies led the growth in May as the banking volatility subsided following the acquisition of First Republic. Meanwhile, uncorrelated Macro strategies posted mixed performance for the month led by quantitative, trend-following CTA strategies, as volatility evolved and uncertainty remained regarding the near-term path of interest rates.