Hedge funds Assets under management declined by US$21 billion in June: Eurekahedge

• Assets under management declined by US$21 billion in June and currently stand at US$1.89 trillion

• Launch activity picks up with more than 300 funds launched so far in the year

• Eurekahedge is currently tracking more than 500 funds that have delivered over 15% year-to-date and 250 funds that are up by over 20% year-to-date

• Distressed debt funds end 11-month winning run after gaining 21% from June 2012 to May 2013

• CTA/ managed futures funds in negative territory for the year, down 1.35% year-to-date

• Updated figures for May show that the industry grew by US$28 billion during the month

• AUM of North American hedge funds currently at US$1.29 trillion, expected to cross historical high of US$1.3 trillion by end June

• North American and fixed income hedge funds witness largest performance-based declines in almost 2 years

• Hedge funds post largest monthly loss in one year; long/short equity funds end twelve month winning streak


Performance update

Hedge funds recorded negative returns in June ending their seven month winning run, as global markets witnessed broad based declines during the month. The Eurekahedge Hedge Fund Index was down 1.45% in June, outperforming most major underlying markets as the MSCI AC World Index declined 3.10%.

June witnessed some heightened risk aversion in global markets amid slowing economic growth in China and the US Federal Reserve’s indications that it might scale back its bond buying program. Most major equity markets ended the month in negative territory although market fears regarding a disruption to global economic recovery were somewhat allayed near the month-end as the Fed clarified that any tightening of the monetary policy would be hinged upon solid job creation in the US labour market.

June 2013 and May 2013 returns across regions




The S&P 500 index was down 1.50% in June while the FTSE100 and Hang Seng index were down 5.58% and 7.10% respectively. Asia ex-Japan markets were the worst hit as lacklustre manufacturing data from China continued the flow of dreary macroeconomic numbers from China. Japanese stocks proved to be more resilient compared to their counterparts - with the Nikkei 225 and Tokyo Topix down 0.71% and 0.17% respectively. Towards the end of the month, market reaction to the US Federal Reserve’s indicated framework was downplayed with some positive announcements while strong US macroeconomic data and the ECB’s reiteration of its commitment to a loose monetary policy regime added a further confidence to the markets.

With the exception of Japan, all regional mandates ended the month in negative territory with Asia ex Japan focused hedge funds seeing the largest decline. The Eurekahedge Asia ex Japan Hedge Fund Index was down 4.59% as lacklustre economic indicators from China continued to flow in while the mid-month credit crunch, which saw the SHIBOR (Shanghai Interbank Offered Rate) shoot up to 12% further drained market sentiment. The Shanghai A Share index was down 13.9% for the month with a similar picture emerging in the rest of the region as both the Hang Seng and the Kospi index were down 7.1% and 6.9% respectively. The MSCI Asia ex Japan Index was down by 6.75% for the month.

The seven month winning streak of North American hedge funds also came to an end as the Eurekahedge North American Hedge Fund Index was down 0.21% (up 3.95% YTD) – a significant outperformance to the S&P 500 which declined 1.50%. The Eurekahedge European Hedge Fund Index declined 1.13% during the month, making it the third month of negative returns this year for the regional managers. The Eurekahedge Japan Hedge Fund Index was up 0.03% for the month, bringing its year-to-date returns at an enviable 17.25%. While Prime Minister Abe outlined the ‘3rd arrow’ of his economic policy, it did not do much to boost the market and funds with low long exposures were the ones that performed well during the month while some managers with exposure to transport and industrials also reported gains.


Mizuho-Eurekahedge Asset Weighted Index

The asset weighted Mizuho-Eurekahedge Index was down 2.13% in June as the largest constituents of the index underperformed. The top 15 constituents of the index, which include some of the largest hedge funds in the world, were all in negative territory for the month regardless of strategy and assets traded. Even though some of the large funds are focused on volatility trading, which was up during the month, the negative performance of these funds indicates a disconnect between fundamentals and market performance, which was highlighted in June by the decline in US equity markets following positive macroeconomic numbers.

Index constituents focused on Asia Pacific also witnessed strong declines as the Mizuho-Eurekahedge Asia Pacific Index fell 3.69% in June. Meanwhile emerging markets focused funds also continued their dismal performance and the Mizuho-Eurekahedge Emerging Market index declined 3.98% in June bringing its year-to-date return to -2.48%. It is pertinent to note here that the Brazilian real has plummeted 7.33% against the US dollar year-to-date as the world’s sixth largest economy slows down on the back of falling commodity prices.


Asset flows update

Hedge funds witnessed negative returns in June, bringing an end to their seven month winning streak since November 2012. The Eurekahedge Hedge Fund Index was down 0.69% during the month as global markets reverted to ‘risk-off’ mode amid speculation that the US Federal Reserve will slow down its asset purchase program. The MSCI World Index was down by 3.10 % during the month.

Total assets under management (AUM) declined by US$21 billion during the month, bringing the size of the industry to US$1.89 trillion. Most of the negative impact on total assets came from negative performance in June as managers lost US$18.84 billion over the course of the month. The industry also witnessed net negative asset flows of US$2.12 billion during the month.

Hedge funds end 7 month winning streak, down 1.47%

Hedge funds recorded negative returns in June ending their seven month winning run, as global markets witnessed broad based declines during the month. The Eurekahedge Hedge Fund Index was down 1.47% in June, outperforming the MSCI World Index which lost by 3.10% during the month. Key highlights for June 2013: - Hedge funds witnessed first losing month of the year, down 1.47% in June 2013 - Japanese hedge funds outperformed underlying stocks, up by 0.15% in June and 17.38% year-to-date - Launch activity picks up with more than 300 funds launched so far in the year - Distressed debt funds end 11-month winning run after gaining 21% from June 2012 to May 2013 - CTA/Managed Futures funds in negative territory for the year, down 1.35% year-to-date Regional Indices June witnessed a continuation of downside momentum from the end of May as markets reacted adversely to speculation about a slowdown in the FED’s bond buying operations. The S&P 500 index was down 1.50% while the FTSE100 and Hang Seng index were down 5.58% and 7.10% respectively. Asia ex-Japan markets were the worst hit as lacklustre manufacturing data from China continued the flow of dreary macroeconomic numbers from China. Japanese stocks proved to be more resilient compared to their counterparts - with the Nikkei 225 and Tokyo Topix down 0.71% and 0.17% respectively. Towards the end of the month, market reaction to the US Federal Reserve’s indicated framework was downplayed as both the scale and pace of the slowdown in asset repurchase is contingent upon the US economic recovery which is still far from complete. A further boost of confidence was added to the markets as the European Central Bank re-affirmed the continuation of its loose monetary policy. All major hedge fund investment regions, with the exception of Japan, finished in negative territory for the month. The Eurekahedge Asia ex-Japan Hedge Fund Index saw the largest decline among all regional mandates, down by 4.63%. It still managed to outperform the underlying markets as the MSCI Asia Ex Japan Index dropped by 6.75% for the month. The seven month streak of positive returns for North American hedge funds also came to an end as the Eurekahedge North American Hedge Fund Index was down 0.10% (up 4.07% YTD) – a significant outperformance to the S&P 500 which declined 1.50%. European hedge funds saw another month of dismal returns this year with the Eurekahedge European Hedge Fund Index down 1.16%. In contrast, the Eurekahedge Japan Hedge Fund Index was up 0.15% for the month, bringing its year-to-date returns at an enviable 17.38%. While Prime Minister Abe outlined the ‘3rd arrow’ of his economic policy, it did not do much to boost up the market and funds with low long exposures were the ones that performed well during the month while some managers with exposure to transport and industrials also reported gains. Strategy Indices All hedge fund strategies yielded negative returns in June. Multi-strategy hedge funds were the worst performer for the month with a loss of 2.20%, followed by long/short equities (down 1.66%) as the global equity markets witnessed broad-based declines. CTA/managed futures posted the second consecutive month of negative returns, down by 1.14% in June and 1.35% year-to-date. The S&P GSCI precious metals total return index fell 12.21% during the month while CTA managers also suffered losses in equity and bond futures. Eurekahedge indices are available for download from www.eurekahedge.com/indices/hedgefundindices.asp and are updated with the latest fund returns at 23:30 GMT every day. Index values and data can be downloaded for free and subscribers can download the full list of index constituents. Please contact indices@eurekahedge.com for more information.

European hedge fund sector: 7th consecutive month of positive returns

- Hedge funds witnessed 5th consecutive month of net allocations & 7th consecutive month of positive returns – up 4% May year-to-date - Total asset flows for 2013 currently stand at US$56.9 billion - Asia ex-Japan hedge funds outperformed underlying markets for three consecutive months - Eurekahedge is currently tracking almost 500 funds that have delivered more than 15% year-to-date and more than 250 funds that are up more than 20% year-to-date - Distressed debt funds extend winning streak to 11 consecutive months, gaining 22.68% since end-June 2012 - CTA/managed futures funds declined 1.81% in May 2013 Performance update Hedge funds witnessed the seventh consecutive month of positive returns in May amid mixed returns in global markets. The Eurekahedge Hedge Fund Index was up 0.32%[1] during the month, while the MSCI World Index[2] declined by 0.45% in May. May started off on a good note with positive economic data from the US, leading to rallies in global equity markets, specifically in North America where market indices reached all-time highs. The US dollar strengthened against most major currencies, going above 100 level against the Japanese yen for the first time since 2009. The positive sentiment turned mid-month amid weak manufacturing numbers from China and uncertainty regarding the withdrawal of the US Federal Reserve’s asset purchase program. May 2013 and April 2013 returns across regions Most major hedge fund investment regions delivered positive returns May, with Asia ex-Japan hedge funds reporting the strongest returns during the month. The managers outperformed the market for the third consecutive month gaining 2.04% in May while the MSCI Asia Ex Japan Index[3] was down 4.35% - the largest returns were posted by funds focused on Greater China, up 4% in May. The Eurekahedge Japan Hedge Fund Index was down 0.15% in May, bringing its year-to-date return to 17.68%, and ending the eight-month winning streak of Japan focused hedge funds. The month’s return represents an outperformance by the managers as the Nikkei 225 declined 0.62% while the Tokyo Topix was down 2.52% during May. Japanese markets witnessed some volatility during the month as the Nikkei fell 7.3% in a single day, amid concerns about US stimulus, before rallying at the month end after some positive announcements from the Japanese central bank. The Eurekahedge North American Hedge Fund Index was up 1.06% in May bring it’s year-to-date return to 4.46%. The S&P 500 was up 2.08% in May but witnessed a mid-month trend reversal, declining to 1630 after reaching an intra-day high of 1687 in the fourth week of May. This trend was also witnessed across European bourses, however most European indices finished the month higher holding on to gains generated after the ECB’s rate cut. The Eurekahedge European Hedge Fund Index was up 0.90% during the month. Mizuho-Eurekahedge Asset Weighted Index The asset weighted Mizuho-Eurekahedge Index was down 0.89% in May as some of the largest constituents of the index underperformed. Since the Mizuho-Eurekahedge Index is US dollar denominated, during months of strong US dollar gains, the index results include the currency conversion loss for funds that are denominated in other currencies – hence the negative returns for the index. Adding to the currency conversion loss were a few large CTA/managed futures and macro investing funds which posted negative returns for the month. The largest returns in May were delivered by funds focused on the mainland China equities. Among the main regional mandates only Asia ex-Japan managers posted flat-to-slightly-positive returns. Asset flows update Hedge funds posted marginally positive returns in May amid mixed returns in global markets. The Eurekahedge Hedge Fund Index was up 0.32%[4] during the month as some risk aversion returned to the markets leading to mid-month trend reversals. The MSCI World Index was down by 0.45%[5] during the month. Total assets under management (AUM) increased by US$3.1 billion during May, bringing the size of the industry to US$1.88 trillion. Impact of performance on total assets was slightly negative in May as managers lost US$1.5 billion over the course of the month. On the other hand net flows were positive for the fifth month running with US$4.6 billion in net allocations.

Hedge funds attract US$50 billion in five months

Hedge funds witnessed the seventh consecutive month of positive returns in May amid mixed returns in global markets. The Eurekahedge Hedge Fund Index was up 0.20% during the month, while the MSCI World Index was down 0.45% in May. Key highlights for May 2013: - Hedge funds witnessed the 5th consecutive month of net allocations and 7th consecutive month of positive returns - up 3.89% year-to-date - Total asset flows for 2013 currently stand at US$50 billion with total size of the industry at US$1.87 trillion - Asia ex-Japan hedge funds outperformed underlying markets for three consecutive months - up 3.26% since end-February - Eurekahedge is currently tracking almost 500 funds that have delivered more than 15% year-to-date and 250 funds that are up by over 20% year-to-date - Distressed debt funds extended winning streak to 11 consecutive months, gaining 21% since end-June 2012 - CTA/managed futures funds declined by 1.69% in May 2013 Regional Indices May started off on a good note with positive economic data from the US, leading to rallies in global equity markets, specifically in North America where market indices reached all-time highs. The US dollar strengthened against most major currencies, going above 100 level against the Japanese yen for the first time since 2009. The positive sentiment turned mid-month amid weak manufacturing numbers from China and uncertainty regarding the withdrawal of the US Federal Reserve’s asset purchase program. Most major hedge fund investment regions delivered positive returns in May, with Asia ex-Japan hedge funds reporting the strongest returns during the month. The managers outperformed the market for the third consecutive month gaining 2.35% in May while the MSCI Asia Ex Japan Index was down 4.35% - the largest returns posted by funds focused on Greater China, up 4% in May. The Eurekahedge Japan Hedge Fund Index grew 0.42% in May, bringing its year-to-date return to 18.34% and extending their winning run to the ninth month making it the longest winning streak on record for Japanese funds. The month’s return represents an outperformance by the managers as the Nikkei 225 declined 0.62% while the Tokyo Topix was down 2.52% during May. The Japanese markets witnessed some volatility during the month as the Nikkei fell 7.3% in a single day, amid concerns about US stimulus, before rallying at the month end after some positive announcements from the Japanese central bank. The Eurekahedge North American Hedge Fund Index was up 1.06% in May bringing its year-to-date return to 4.46%. The S&P500 was up 2.08% in May but witnessed a mid-month trend reversal, declining to 1630 after reaching an intra-day high of 1687 in the fourth week of May. This trend was also witnessed across European bourses, however most European indices finished the month higher holding on to gains generated after the ECB’s rate cut. The Eurekahedge European Hedge Fund Index grew 0.83% during the month. Strategy Indices Returns were mixed among the different strategic indices, with distressed debt hedge funds posting the strongest gains of 1.87%. Distressed debt managers have witnessed eleven straight months of positive returns, gaining 21% since end-June 2012. The distressed debt sector gained earlier in the month from the positive sentiment around global economic data while the ECB rate cut triggered rallies in the European distressed bonds sector, but the increased risk aversion at the end of the month led to some losses. The BofA Merrill Lynch High Yield Index was down 0.43% in May. CTA/managed futures funds posted the largest negative returns during the month, declining by 1.69% on average. Trend-followers suffered due to the reversal in market sentiment mid-month, although some short-term systematic funds witnessed some gains. A number of managers also reported losses from the energy and precious metals sector. On the other hand some managers investing in FX delivered positive returns gaining from short AUD/USD positions.

New Dow Jones Credit Suisse Hedge Fund Index Commentary Offers Insight into July Hedge Fund Performance

The Dow Jones Credit Suisse Hedge Fund Index finished up 1.42% in July. A new monthly commentary offers insight into hedge fund performance through the month of July. Some key findings from the report include:



Hedge funds, as measured by the Dow Jones Credit Suisse Hedge Fund Index, finished July up 1.42%, with 8 out of 10 strategies in positive territory;

In total, the industry saw estimated outflows of approximately $8.5 billion in July, bringing overall assets under management for the industry to approximately $1.75 trillion;

The Equity Market Neutral and Fixed Income Arbitrage sectors experienced the largest asset inflows on a percentage basis for the second consecutive month, with inflows in July of 3.03% and 0.22% from June 2012 levels, respectively;

Managed Futures funds posted positive results in July, with the month almost a mirror image of June in which managers were able to recoup the previous months’ losses and rebuild positions according to stronger signals; and

Event Driven funds generated overall positive performance in July against the backdrop of European sovereign debt issues and growth concerns in developed economies. M&A activity experienced a slight uptick in newly announced transaction volume in July and credit strategies generated gains during the month as a result of supportive technical strength and improved risk sentiment.

Single-manager hedge funds continue to grow

Single-manager hedge funds, which include commodities trading advisors, withstood market swings, macroeconomic uncertainties and regulatory reforms in the first half of 2012, increasing their reported assets under management by 5.23% to $1.892 trillion, according to a study by PerTrac, the leading provider of analytics, reporting and communications software for investment professionals. This mid-year update to their annual study on the size and composition of the hedge fund industry also found a continued decline in the reported assets under management of funds of hedge funds. The amount of money invested in these investment vehicles, which allocate exclusively to hedge funds, declined by 4.92% during the first half of 2012 to $425 billion. Part of the slide in these funds’ assets can be attributed to the decline in the number of them reporting information to databases, which slipped by 3.81% to 3,259.

Despite the drop for funds of hedge funds, the total, reported amount invested within the hedge fund industry, including funds of hedge funds and single-manager hedge funds (of which, commodities trading advisors – or CTAs – are considered a subset in this study) climbed to $2.317 trillion in the first six months of the year. The total number of all funds reporting to databases also jumped by 4.61% to 14,013, led by single-manager hedge funds, whose ranks swelled 7.46% to 10,754 funds. Most of the gains in the number of single-manager hedge funds (75%) came from small and start-up funds with less than $25 million in assets under management.

These reported numbers suggest that asset allocators have a growing interest in alternative investments and an increasing tendency toward investing directly in hedge funds. The data also points to the resilience of hedge funds as the end of the first half of 2012 marks three and a half years of steady growth.

“Although challenging economic conditions have impacted hedge funds’ performance during the last few years, investors still see their long term value and are giving them a significant place in their portfolios,” said Brendan Dolan, President of PerTrac.

When investors allocated to alternatives in 2012, they favored the largest funds. The “billion dollar club” of single-manager hedge funds, those that oversee more than $1 billion, saw assets under management increase to $1.146 trillion from $1.08 trillion at the end of 2011. The billion-dollar-plus funds represented 60.6% of all assets invested with single-manager hedge funds at the end of the first half of 2012.

The PerTrac hedge fund study is unique because it is the only one that aggregates information from 11 leading global databases. This provides for the most holistic picture of the industry. Of those funds that report, 54% reported to only one database in 2011, according to the 9^th edition of the study. PerTrac’s proprietary analytics software also removes duplicative fund data for an added level of precision in analyzing the number of funds and assets under management.

The study also found, among reporting funds, that:

• The “billion dollar club” reigned supreme within funds of hedge funds as well. 48.7% of assets were controlled by the 3.24% of firms that each managed more than $1 billion.
• CTAs posted healthy gains in assets of 6.05% this year, bringing their total to $438 billion under management at the end of first half of 2012. The total number of CTA funds rose by 1.26% from the end of 2011 to 1,528.
• Forty-five CTAs reported managing in excess of $1 billion and they accounted for 78.1% of that sector’s assets under management.

For more information, please download the full PerTrac study by clicking here.

Greenwich Global Hedge Fund Index rose +0.93% for July

Hedge fund managers posted positive results in July 2012 on average as the Greenwich Global Hedge Fund Index rose +0.93% for the month. As indicated in our first estimates earlier this month, Futures strategies were one of the best performers in July, returning an average of +2.29%. The GGHFI’s gain of +0.93% closely follows that of global equity returns in the S&P 500 Total Return (1.39%), and MSCI World Equity (+1.20%) equity indices. 66% of constituent funds in the GGHFI ended the month with gains.

Global Index Strategy Highlights

• Futures funds are one of the best performers during the month, gaining +2.29% on average. Many managers benefitted from long positions in commodities markets, especially in agriculture. Macro managers also performed well in the month with a +1.52% gain.

• Global stock markets saw much of their gains concentrated in the last week of the month. On average, Long/Short Equity funds returned another month of modest gains (+0.19%), continuing to trail equity markets. Value strategies outperformed both Opportunistic and Growth strategies with a gain of +0.41%. Short-Biased funds were a bright spot in this group in July, rising +3.52%.

• Fixed Income Arbitrage funds were the best performers in the Market Neutral Group in July, returning +1.51%. This strategy is now up approximately 6.1% YTD, along with Convertible Arbitrage. These strategies now lag only Long-Short Credit funds for their 2012 performance (+6.14% YTD).

• Regionally, funds investing in Developed Markets (+0.99%) outperformed those investing in Emerging Markets (+0.20%) on average in July. Global Developed Markets funds had the best month (+1.60%). Perhaps surprisingly, this was followed in the Developed Markets category by Western European funds, which rose 0.95% in July. This brings them to +4.02% YTD, making this region the strongest YTD. Funds focused on Emerging Markets Europe also posted very strong results for the month, gaining +1.17% on average.