Posted by Colin Lambert. Last updated: June 10, 2026
After rebounding strongly in April, hedge funds continued to rebuild returns after a tough March with another solid performance in May, according to indexation and analytical firm HFR.
The HFRI Fund Weighted Composite Index was +1.65 in May, bringing year-to-date performance to +7.14%, led by Equity Hedge strategies, which returned 2.7% for +8.92% year-to-date. This was followed by Event Driven strategies at +2.07% for +5.75% year-to-date. The Relative Value Index was +0.6% on the month for +3.58% year-to-date.
Although Macro had a quiet month at +0.17%, it remains the second-best performing strategy thus far in 2026 at +7.5%. Within the Macro complex, there was mixed performance, with the HFRI Macro Commodity Index suffering the most by dropping 1.09% (for +4.47% year-to-date), and the Active Trading Index performing best at +1.67% (+6.67%). The HFRI Macro: Currency Index remains the only sub-index mired in negative territory, a +0.62% return in May not enough to recover previous losses as it sits -1.98% year-to-date.
Discretionary strategies outperformed systematic on the month, with the Discretionary Directional Index +1.16%, and the Systematic Directional Index at -0.39%. Year-to-date, however, the latter continues to outperform the former at +9.74% to +6.9%.
The HFR Cryptocurrency Index continued to suffer in May at -0.32%, meaning year-to-date it is -9.66%. The Blockchain indices are a sea of red for the year, the headline HFR Blockchain Index is -9.8% (-0.62% in May), while the HFR DeFi Index is -4.76% (+0.34%).
Performance dispersion contracted in May, as the top decile of the HFRI FWC constituents advanced by an average of +13.2%, while the bottom decile of constituents fell by an average of -5.8%, for a top/bottom dispersion of 19.0%. In April the performance dispersion in April was 22.2% and for the trailing 12 months it was 101.4 %.
HFR says approximately 70% of hedge funds produced positive performance in May.
“2026 has been the extreme opposite of a passive beta equity index exposure market cycle” observes Kenneth Heinz, president of HFR. “Since the beginning of the year, hedge funds have successfully navigated a succession of intense market dislocations and reversals in equities and commodities, including in the much-vaunted technology sector. Geopolitical uncertainty and global volatility continue driving headlines, presenting dynamic trading opportunities for specialized, experienced and savvy active managers.”