Equity Long/Short Hit Hardest In May

Most indices tracking hedge funds won’t release May figures for a few days, but The Wall Street Journal’s daily Dow Jones Hedge Fund Strategy Benchmarks indicates equity long/short took the worst beating. For the four-week period ending May 30, equity long/short tumbled from 8.4% YTD to 3%. On the other hand, its 52-week returns sank from 15.5% to 8.9%. But it’s only May, and last year ended with averages of 9%. The five other DJ strategies fell by lesser amounts year-to-date with merger arbitrage at 3.6% (down from 4.5%), event driven at 4.7% (from 5.9%), distressed securities at 6.0% (from 7.0%) and equity market neutral at 2.2% (off from 3.0%). Oddly enough, convertible arbitrage, the 2005 dog of the year, while it fell from 5.4% to 3.8% last month, saw its 52-week return almost double from a year ago. At the beginning of May, its 52-week return stood at 5.4; as of May 30 it was 9.5%.