Best. Month. Ever. (Or, you know, since January 2006.)

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In May, hedge funds had their best month in over a year, according to the latest monthly report from Eurekahedge. The Eurekahede Hedge Fund Index had a return of 2.4 percent, the strongest since January of 2006. North American fund managers saw a slightly lower gain of 2.1%. The real strength, however came from emerging markets, where the index had gains of 4.4%.
In terms of strategy, long-and-short equity funds and event-driven funds were the best performing, up 2.9% and 2.1% on average. Of course, both underperformed the unhedged strategy of being long the S&P 500, which saw a gain of 3% in May. And when you consider the fee differential between hedge funds and index funds, it’s not contest at all.
May 2007 Hedge Fund Performance Commentary [EurekaHedge: free registration required]
Hedge funds: how they did in May [FT Alphaville]
S&P 500 May Winners & Losers [Forbes.com]

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