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Global financial markets gained in May led by Energy, small cap and growth sectors, extending the strong recovery from the prior months as businesses began the process of reopening from the coronavirus pandemic quarantine.  Energy equities surged as Oil posted record monthly gains in May, small cap, growth, technology and commodity sensitive all gained as risk tolerance continued to increase; regional gains were led by Germany, Japan, Russia and Brazil. Interest rates increased  and credit tightened as volatility declined, while the US dollar was mixed, gaining against British Pound Sterling, while little changed against the Euro, Swiss Franc and Japanese Yen. Oil surged to a record monthly gain as strengthening demand and output reductions contributed to WTI gains, while Brent crude also gained; Silver, Platinum, Cattle and Lumber also led commodity gains. Hedge Funds & Risk Premia strategies posted gains with the HFRX Global Hedge Fund Index posting a gain of +1.44% for the period.
HFRX Relative Value Arbitrage Index posted a gain of +2.00% for May from gains in Multi-Strategy and Convertible Arbitrage managers. The HFRX RV: Multi-Strategy Index posted a gain of +2.00% for the month as interest rates increased. The HFRX Convertible Arbitrage Index posted a gain of +1.99% for the month as spread contracted while volatility declined.
HFRX Event Driven Index posted a gain of +1.96% from gains in Special Situations equity strategies and Merger Arbitrage managers. The HFRX Special Situations Index posted a gain of +2.08% from exposure to global catalyst-driven, fundamental value equities. The HFRX Merger Arbitrage Index posted a gain of +0.20% as M&A global activity started to resume and spreads on existing deals contracted.
HFRX Equity Hedge Index posted a gain of +1.22% from gains across all sub-strategies. The HFRX Market Neutral Index gained +2.01% for the month from gains in mean reverting, factor-based strategies and fundamental managers. The HFRX Fundamental Growth Index posted a gain of +1.21% from gains in Emerging Markets equities with concentration in Russia and Eastern Europe partially offset by MENA exposure. The HFRX Fundamental Value Index posted a gain of +1.15% from exposure to large-cap equities in developed markets with gains concentrated in Japan equities.
HFRX Macro/CTA Index posted a gain of +0.26% from gains in Global Discretionary managers which were partially offset by systematic trend-following strategies. Macro Discretionary managers posted gains from exposure to global Fixed-Income strategies and Emerging Markets debt. The HFRX Macro Systematic/CTA Index posted a decline of -1.16% as pricing trends reversed sharply in Oil markets, Metals gained and Agricultural commodities were mixed; the US Dollar was little changed against other major currencies.
Comments reference performance figures for May 29, 2020