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Index Flash Update - 14 April 2015

Hedge funds reported third consecutive month of returns, up 0.83%

Hedge funds registered their third consecutive month of gains since the start of the year, with the Eurekahedge Hedge Fund Index up 0.83%1 in March, outperforming the MSCI World Index2 which ended the month slightly down 0.39%.

Key takeaways for the month of March 2015:

  • Hedge funds posted their fifth consecutive month of positive returns - up 3.11% in Q1 2015, comparatively outperforming the 1.07% gain for the same period last year.
  • Net asset flows during the month were marginally positive following strong inflows in February when investors allocated US$16.3 billion during the month.
  • CTA/managed futures strategies lead with returns of 1.28%, bringing March year-to-date returns up to 4.96%.
  • Asia ex-Japan hedge funds are the top performers with gains of 2.10%, led by Greater China mandated funds which were up 5.17%.
  • India focused managers registered their fourteenth consecutive winning month, returning 3.21% and outperforming the BSE Sensex Index by over 7%.
Index of the Month Mar
2015 Returns 2014 Returns
Eurekahedge Greater China Hedge Fund Index 5.17 6.64 8.11

Main Indices

Main Eurekahedge Indices Mar
2015 Returns 2014 Returns
Eurekahedge Hedge Fund Index 0.83 3.11 4.48
Eurekahedge Fund of Funds Index 0.67 2.75 3.46
Eurekahedge Long-only Absolute Return Fund 0.12 3.68 3.47
Eurekahedge Islamic Fund Index -0.83 2.52 2.60

Regional Indices

Eurekahedge Regional Indices Mar
2015 Returns 2014 Returns
Eurekahedge North American Hedge Fund Index 0.53 2.38 5.53
Eurekahedge European Hedge Fund Index 1.02 4.22 0.69
Eurekahedge Eastern Europe & Russia Hedge Fund Index -0.81 6.28 -25.07
Eurekahedge Japan Hedge Fund Index 0.27 0.85 5.86
Eurekahedge Emerging Markets Hedge Fund Index 0.82 2.41 3.52
Eurekahedge Asia ex Japan Hedge Fund Index 2.10 4.56 9.46
Eurekahedge Latin American Hedge Fund Index 0.70 0.73 2.46

Global equity markets were mixed in March with overall gains seen in Europe and Japan. Meanwhile, US equity markets retreated following weaker durables data – a signal that perhaps the stronger dollar is finally beginning to bite into the US economic recovery. The Federal Reserve also made headlines by dropping the word ‘patience’ from its statement during the month, opening up the possibility of an interest rate hike as soon as June, though simultaneously reassuring investors that any rise would be gradual. Despite a rise in the US S&P 500 Index immediately following the announcement, the strong dollar and weak corporate earnings growth put a dent in investor optimism, driving underlying equity markets lower during the month. Meanwhile, Greece appeared to be moving closer to a default as funds began to run dangerously low while negotiations appeared to be at an impasse. While European governments and banks have made contingency plans for a Greek default, the full impact of a ‘Grexit’ remains unknown.

Asia ex-Japan managers delivered the strongest performance with gains of 2.10%, led by managers with a Greater China mandate as the CSI 300 Index soared 13.74% in March. Chinese equity markets remained buoyant, fuelled by speculation that the government would take steps to support faltering economic growth, while property shares rallied sharply as the government enacted policies to urge local authorities to restrict land supply. European managers came in second place with gains of 1.02% in March and 4.22% year-to-date which outstripped returns for the entire year of 2014, coming in ahead of underlying markets as the MSCI Europe Index3gained 0.76% during the month. Similarly, Latin American managers outperformed regional indices, gaining 0.70% despite a 1.42% fall in the MSCI Latin America Index4. On the other hand, mangers investing with a Japan mandate realised gains of 0.27% in March, underperforming the benchmark Nikkei 225 which rose another 2.18% during the month. Meanwhile, Eastern Europe and Russia hedge funds ended the month in negative territory with the Eurekahedge Eastern Europe & Russia Hedge Fund Index slipping 0.81%, though managing to outperform the Russian RTS stock index which fell 2.03%. Russian equities remained came under pressure with oil prices remaining at suppressed levels, rising inflationary pressures due to the weak rouble and a general economic slowdown.

Strategy Indices

Hedge fund strategies saw broad gains in March despite mixed equity market performance and heightened market volatility, with the CBOE VIX Index rising from 13.34 to 15.29. CTA/managed futures and macro fund managers resumed their position at the top of the table, posting the largest returns out of all strategic mandates at 1.28% and 0.98% respectively. Long/short equity funds also did well, reporting gains of 0.96% as average fund performance across the globe stayed largely positive despite strong headwinds from underperforming markets in regions such as North America and Latin America. On the other hand, arbitrage strategies gained the least during the month, coming in flat for March, while fixed income funds struggled with the very real prospect of negative long term rates, returning only 0.27% as the European Central Bank’s determination to fight inflation pushed fixed income assets into unchartered territory, with yields on almost a third of the euro area’s government bonds below zero.

Eurekahedge Strategy Indices Mar
2015 Returns 2014 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.00 1.58 3.13
Eurekahedge CTA/Managed Futures Hedge Fund Index 1.28 4.96 9.31
Eurekahedge Distressed Debt Hedge Fund Index 0.64 1.23 1.02
Eurekahedge Event Driven Hedge Fund Index 0.87 2.87 2.00
Eurekahedge Fixed Income Hedge Fund Index 0.27 1.56 3.20
Eurekahedge Long Short Equities Hedge Fund Index 0.96 3.28 3.48
Eurekahedge Macro Hedge Fund Index 0.98 3.22 4.07
Eurekahedge Multi-Strategy Hedge Fund Index 0.76 2.77 4.29
Eurekahedge Relative Value Hedge Fund Index 0.32 1.53 2.44
Eurekahedge Global Hedge Fund Indices by Fund Size Mar
2015 Returns 2014 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.84 3.19 4.18
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 1.05 3.28 4.72
Eurekahedge Large Hedge Fund Index (> US$500m) 0.61 2.69 5.54
Eurekahedge Billion Dollar Hedge Fund Index 0.45 2.33 4.92
Mizuho-Eurekahedge Indices Mar
2015 Returns 2014 Returns
Mizuho-Eurekahedge Index - USD 0.23 1.23 1.18
Mizuho-Eurekahedge TOP100 Index - USD 0.93 2.92 2.32
Mizuho-Eurekahedge TOP300 Index - USD 0.40 1.62 1.77
Asia-Eurekahedge Indices Mar
2015 Returns 2014 Returns
Eurekahedge Greater China Hedge Fund Index 5.17 6.64 8.11
Eurekahedge India Hedge Fund Index 3.21 9.47 38.83

* Based on 34.78% of funds which have reported March 2015 returns as at 14 April 2015

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