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Index Flash Update - 12 August 2015

Hedge funds up 0.38% after bouncing back from previous month's losses

Hedge funds started the second half of 2015 on a positive note with the Eurekahedge Hedge Fund Index up 0.38%1 in July while the MSCI World Index2 gained 1.34% during the month. Market sentiment improved as the impasse in Greek debt negotiations was resolved in July and the Chinese equity markets showed some signs of bottoming out following aggressive intervention by the Chinese authorities. On a year-to-date basis, hedge funds are up 3.68%, which compares with a gain of 2.94% seen over the same period last year.

Key takeaways for the month of June 2015:

  • Hedge funds were up 0.38% in July, with developed market mandates outperforming their emerging market peers.Total industry AUM has grown by US$100 billion in 2015, with roughly half of this growth coming from new investor allocations.
  • European hedge funds posted the best returns among all regional mandates with gains of 1.03% in July and 5.48% year-to-date.
  • Japanese hedge funds posted their sixth consecutive month of positive returns for the year, and were up 0.62% in July, 5.95% year-to-date.
  • The Eurekahedge Long/Short Equity Hedge Fund Index is up 5.98% year-to-date, comfortably outstripping its annual gains of 3.41% from 2014 as well as outperforming the MSCI AC World Index which is up 5.10% in the first seven months of 2015.
  • On a year-to-date basis, Asia ex-Japan mandated hedge funds lead with returns of 9.87% and have outperformed the MSCI AC Asia ex Japan Index by 8.74%.
Index of the Month Jul
2015*
2015 Returns 2014 Returns
Eurekahedge Greater China Hedge Fund Index -8.33 10.84 7.57

Main Indices

Main Eurekahedge Indices Jul
2015*
2015 Returns 2014 Returns
Eurekahedge Hedge Fund Index 0.38 3.68 4.41
Eurekahedge Fund of Funds Index 0.80 3.55 3.44
Eurekahedge Long-only Absolute Return Fund -0.96 4.24 3.47
Eurekahedge Islamic Fund Index -0.59 1.84 2.62

Regional Indices

Eurekahedge Regional Indices Jul
2015*
2015 Returns 2014 Returns
Eurekahedge North American Hedge Fund Index 0.75 3.20 5.50
Eurekahedge European Hedge Fund Index 1.03 5.48 0.63
Eurekahedge Eastern Europe & Russia Hedge Fund Index -3.79 3.16 -23.89
Eurekahedge Japan Hedge Fund Index 0.62 5.95 5.76
Eurekahedge Emerging Markets Hedge Fund Index -1.58 6.15 3.30
Eurekahedge Asia ex Japan Hedge Fund Index -2.22 9.87 9.10
Eurekahedge Latin American Hedge Fund Index -0.28 1.69 2.16

Returns across regional mandates were mixed during the month, with developed market investment mandates outperforming their emerging markets mandated peers. European hedge funds posted the best returns and were up 1.03% in July following strong gains in underlying markets as the Greek debt crisis saw some resolution. On a year-to-date basis, the Eurekahedge European Hedge Fund Index is up 5.48%, comfortably beating its returns for 2014 when managers posted meagre gains of 0.63%. North American managers were up 0.75% during the month, bringing their year-to-date gains to 3.20% and outperforming the S&P500 index which has gained 2.18% in the first seven months of 2015. Japanese hedge funds posted their sixth consecutive month of positive returns for the year, and were up 0.62% in July. The yen depreciated another 1.22% against the US dollar in July and the underlying Japanese equity markets posted gains, with the Nikkei 225 and Topix up 1.73% and 1.79% respectively during the month. On a year-to-date basis, the Eurekahedge Japan Hedge Fund Index is up 5.95%, surpassing its 2014 gains when Japanese hedge fund managers posted positive returns of 5.76%.

In the emerging market space, Asia ex-Japan hedge led with losses of 2.22%, though outperforming underlying markets as the MSCI Asia ex Japan3 Index declined 3.64% during the month. Greater China mandated hedge funds posted their worst losses for the year, down 8.33% as Chinese equity markets saw steep declines with the CSI 300 index falling by 15.21% during the month. On a year-to-date basis, Asia ex-Japan mandated hedge funds lead with returns of 9.87% and have outperformed the MSCI Asia ex Japan Index by 8.74% for the year.

Strategy Indices

Performance across hedge fund strategic mandates was mixed during the month, with CTA/managed futures and macro strategies delivering the best returns in July while distressed debt mandates floundered. The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 1.20% during the month with managers reporting strong gains from their short exposure to energy, while the S&P Goldman Sachs Energy Total Return Index declined 17.38% during the month as oil prices fell. A combination of rising USD, worries over China’s growth prospects, the Iran nuclear deal and a supply side glut in the markets continues to put downward pressure on oil which could be a major theme driving returns for CTA/managed future strategies in 2H 2015, much like was the case in 2H 2014. On the whole, CTA/managed futures strategies are up 1.39% year-to-date, following returns of 4.00% in Q1 and 3.66% in Q2 this year. Macro strategies were the next best performers and were up 0.71% during the month with gains coming from exposure to developed market equities and a rally in bonds as long term yields declined during the month. Long/short equity funds were flat to marginally negative during the month, down 0.03% with losses coming from emerging market equity exposure. On a year-to-date basis, the Eurekahedge Long/Short Equity Hedge Fund Index leads among all strategic mandates with gains of 5.98%, surpassing its 2014 gains of 3.41%. Distressed debt strategies posted their third consecutive month of losses and were down 0.68% in July – with losses accruing from holdings of corporate debt of companies in the energy sector.

Eurekahedge Strategy Indices Jul
2015*
2015 Returns 2014 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.67 3.61 2.73
Eurekahedge CTA/Managed Futures Hedge Fund Index 1.20 1.39 9.16
Eurekahedge Distressed Debt Hedge Fund Index -0.68 -0.28 0.37
Eurekahedge Event Driven Hedge Fund Index -0.18 2.85 2.44
Eurekahedge Fixed Income Hedge Fund Index 0.08 1.69 3.42
Eurekahedge Long Short Equities Hedge Fund Index -0.03 5.98 3.41
Eurekahedge Macro Hedge Fund Index 0.71 1.90 3.52
Eurekahedge Multi-Strategy Hedge Fund Index 0.66 3.73 4.35
Eurekahedge Relative Value Hedge Fund Index -0.39 2.66 3.02
Eurekahedge Global Hedge Fund Indices by Fund Size Jul
2015*
2015 Returns 2014 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.20 3.33 4.19
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.76 4.62 4.58
Eurekahedge Large Hedge Fund Index (> US$500m) 0.93 3.80 5.59
Eurekahedge Billion Dollar Hedge Fund Index 1.11 3.19 4.92
Mizuho-Eurekahedge Indices Jul
2015*
2015 Returns 2014 Returns
Mizuho-Eurekahedge Index - USD 0.67 1.68 1.18
Mizuho-Eurekahedge TOP100 Index - USD 1.24 2.78 2.32
Mizuho-Eurekahedge TOP300 Index - USD 0.94 2.05 1.77
Asia-Eurekahedge Indices Jul
2015*
2015 Returns 2014 Returns
Eurekahedge Greater China Hedge Fund Index -8.33 10.84 7.57
Eurekahedge India Hedge Fund Index 3.68 8.07 39.30

* Based on 40.99% of funds which have reported July 2015 returns as at 12 August 2015


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