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In May, global financial markets ended the volatile month with mixed and little changed results. Although, global equities recovered steep intra-month losses into month end as equities traded in a wide range as a result of continued inflationary pressures and expectations for a slowing economy. Energy and Semiconductors led sector gains while Germany, China & Russia led regional gains. Interest rates were little changed for the month as the yield curve steepened from falling short term rates; the US dollar declined against most currencies. Energy once again led commodity gains with Natural Gas and Oil extending gains; Aluminum & Silver led Metals declines while Lumber & Cotton led Agricultural declines. Hedge Funds and Risk Premia indices posted mixed performance in May with the HFRX Global Hedge Fund Index declining -1.09%.
HFRX Equity Hedge Index declined -0.75% for May from declines in Fundamental Growth strategies offset by gains in Fundamental Value & Market Neutral Strategies. The HFRX Fundamental Value Index gained +0.21% for the month from gains in exposure to large-cap US & European equities. The HFRX Market Neutral Index gained +0.16% from gains in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Growth Index declined -2.75% for the month from declines concentrated in small-cap US, European, and Emerging Markets equities.
HFRX Macro/CTA Index posted a decline of -0.90% for the month from declines in Systematic trend-following managers. The HFRX Macro Systematic/CTA Index declined -0.75% in May as the US dollar declined against most currencies; Agricultural commodities declines were led by Lumber, Cotton, and Cattle. Metals declines were led by Aluminum and Silver, while Energy extended gains for the month. 
HFRX Relative Value Arbitrage Index declined -0.97% for May from declines in Convertible Arbitrage strategies and Multi-Strategy managers. The HFRX RV: Multi-Strategy Index declined -0.77% as interest rates were little changed for the month and the yield curve steepened from falling short term rates. The HFRX Convertible Arbitrage Index posted a decline of -3.07% for the month as volatility slightly declined during the period and yields marginally changed.
HFRX Event Driven Index posted a decline of -1.70% for the month from declines in Merger Arbitrage and Special Situations equity strategies. The HFRX Special Situations Index declined -1.66% from declines in exposure to global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index declined -2.40% in May as global equities saw steep intra-month losses across geographies and sectors which narrowed into month end.
Comments reference performance figures as of May 31, 2022