Eurekahedge: Hedge funds outperform global markets by 3.21% in July; ahead 2.52% YTD

The Eurekahedge Hedge Fund Index gained 0.62%¹ in July, as managers across all regions continued to outperform the markets. The MSCI World Index fell 2.59%² in July, as world markets grew increasingly risk averse.

Key highlights for July:

All regions outperformed underlying markets for the third consecutive month

Hedge funds outperformed global markets by 3.21% in July and remain ahead by 2.52% YTD

CTA/managed futures funds posted gains of 2.65%

Early reporting funds suggest that US$5 billion entered the sector in July, making it the eighth consecutive month to see net inflows

Assets in macro hedge funds reached a historical high, rising to  US$125.2 billion.


 

Main Indices

Table 1: Main Indices
Index	July 2011 Est1	2011 Returns	2010 Returns
Eurekahedge Hedge Fund Index	0.62	0.95	10.84
Eurekahedge Fund of Funds Index	0.43	-0.32	4.51
Eurekahedge Long-Only Absolute Return Fund Index	-0.61	-1.62	15.91
Eurekahedge Islamic Fund Index	-0.20	0.85	9.43

 

Regional Indices

Asia ex-Japan focused managers delivered the best returns in terms of regional mandates. The Eurekahedge Asia ex-Japan Hedge Fund Index was up 1.19%, with a majority of the gains coming from long/short equity hedge funds. While the largest markets did post declines (Australia, China and India, posted -3.98%, -2.18% and -3.44% respectively), managers investing in these countries were able to extract gains through their short exposures as well as value opportunities. Hedge funds investing the in the Asean region were helped by positive performance in the underlying markets (Asean markets are viewed as being more sheltered from global macroeconomic conditions than other regional markets).




North American hedge funds also ended July in positive territory with healthy returns of 0.58%, outperforming the S&P 500 which was down 2.15%, amid a month of choppy trading. The market was dominated by concerns surrounding the US debt ceiling negotiations, European sovereign debt issues and weak US economic data. The market rallied mid-month, amid false optimism of a deal in the US debt ceiling discussions and announcements by European officials to ease concerns about the debt situation. This was followed by a steady decline in the last week of the month due to subdued economic growth data, which added to market volatility.

Table 2: Regional Indices
Index	July 2011 Est1	2011 Returns	2010 Returns
Eurekahedge North American Hedge Fund Index	0.58	2.84	13.60
Eurekahedge European Hedge Fund Index	-0.91	-0.62	9.21
Eurekahedge Eastern Europe & Russia Hedge Fund Index	0.95	2.10	16.56
Eurekahedge Japan Hedge Fund Index	0.39	1.34	8.21
Eurekahedge Emerging Markets Hedge Fund Index	0.16	1.05	10.57
Eurekahedge Asia ex-Japan Hedge Fund Index	1.19	0.18	10.20
Eurekahedge Latin American Hedge Fund Index	-0.94	2.09	9.80

 

Strategy Indices

Hedge funds posted mixed returns across the different strategic mandates with CTA managers posting the best returns. The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 2.65% in July. Managed future funds enjoyed gains from currency trades and fixed income futures. Commodity traders also witnessed gains during the month, with most commodities yielding positive returns. The S&P Goldman Sachs Commodity Index was up 2.43% during the month. Among other strategies, macro investing funds and multi-strategy managers witnessed gains of 0.91% and 0.47% respectively as their broader investment mandates proved helpful in the volatile market conditions.

Table 3: Strategy Indices
Index	July 2011 Est1	2011 Returns	2010 Returns
Eurekahedge Arbitrage Hedge Fund Index	-0.02	2.65	9.42
Eurekahedge CTA/Managed Futures Hedge Fund Index	2.65	-0.45	12.15
Eurekahedge Distressed Debt Hedge Fund Index	-0.02	4.98	23.04
Eurekahedge Event Driven Hedge Fund Index	-1.09	-0.33	15.47
Eurekahedge Fixed Income Hedge Fund Index	-0.03	3.00	10.37
Eurekahedge Long/Short Equities Hedge Fund Index	0.04	0.61	10.25
Eurekahedge Macro Hedge Fund Index	0.91	0.34	7.59
Eurekahedge Multi-Strategy Hedge Fund Index	0.47	1.54	9.57
Eurekahedge Relative Value Hedge Fund Index	-0.65	1.46	11.28