Indices

Index Flash Update - 12 July 2016

Hedge funds beat underlying markets in June with 0.64% gains, up 1.34% after four consecutive months of positive returns

Hedge funds successfully traded their way around an overwhelming month in June and were up 0.64% while underlying markets as represented by the MSCI World Index (Local) were down 1.38% during the month. Almost 56% of the underlying constituent funds for the Eurekahedge Hedge Fund Index were in the positive for June, with a quarter reporting gains in excess of 2.5% while roughly 15% reported losses exceeding -2.5%. As of the 1H 2016, hedge funds are up 1.34% following four consecutive months of positive returns after a difficult start to the year. In comparison, the MSCI World Index (Local) is down by 1.43%.

While performance has varied across regional exposures and strategic mandates as of 1H 2016, almost 20% of the managers have posted first half returns in excess of 5%, with almost 15% delivering performance-based gains upwards of 7%. Of these funds delivering upwards of 7% on a year-to-date basis, long/short equities and CTA/managed futures strategies constitute a good one-half of the funds, with managers focused on North American equities featuring strongly in this pool.

Key takeaways for the month of June 2016:
  • Hedge funds beat underlying markets in June, gaining 0.64% while the MSCI AC World Index fell into negative territory down 1.38%. On a year-to-date basis, hedge funds were up 1.34% following four consecutive months of positive returns, also beating the MSCI AC World Index which fell 1.43% over the same period.
  • How Top Hedge Funds Weathered 'Brexit Day': The S&P500 index lost -3.59%, which essentially wiped out all its 2016 gains in one day. MSCI Europe (USD) and MSCI World (USD) lost -8.77% and -4.90% respectively. At the same time, Quantvest's Eurekahedge 50 Tracker Index, which tracks the performance of the world's top 50 hedge funds, declined only -0.36%. Read more about the Tracker Index here.
  • The Eurekahedge Trend Following Hedge Fund Index, a sub-group of the broad CTA Index outshone in June and was up 5.96% during the month as winning trends in the credit, commodities and FX space emerged following an unwelcome Brexit.
  • North American hedge fund managers lead the performance among developed mandates, gaining 0.56% during the month. On the other hand, Japanese and European hedge funds fell into negative territory in June, losing 2.22% and 1.58%. On a year-to-date basis, North American hedge fund managers were up 2.33% beating their Japanese and European counterparts who were down 5.28% and 2.89% respectively.
  • Asia ex-Japan hedge fund managers gained 0.45% during the month but are down 1.95% year-to-date. Underlying Greater China hedge funds were up a marginal 0.03% during the month and lost 6.03% year-to-date, outperforming the CSI 300 Index which fell 15.47% year-to-date.
  • Latin American hedge funds were up 4.33% in June and up 12.98% year-to-date, outperforming other regional mandates over both periods respectively. Managers have also outperformed underlying markets as represented by the MSCI Latin America Index which was up 4.10% in June and up 12.75% year-to-date. On a year-to-date basis, 81% of Latin American hedge fund managers have posted positive returns, with 30% of them posting year-to-date returns greater than 10%.
  • CTA/managed futures hedge funds posted the best returns among strategic mandates, up 3.61% in June. Managers also outperformed other strategic mandates on a year-to-date basis, gaining 4.69% - their best year-to-date returns since 2008.
Index of the Month Jun
2016*
2016 Returns 2015 Returns
Eurekahedge CTA/Managed Futures Hedge Fund 3.61 4.69 -0.66

Main Indices

Main Eurekahedge Indices Jun
2016*
2016 Returns 2015 Returns
Eurekahedge Hedge Fund Index 0.64 1.34 1.60
Eurekahedge Fund of Funds Index -0.26 -2.22 0.42
Eurekahedge Long-only Absolute Return Fund 0.64 2.04 -1.84
Eurekahedge Islamic Fund Index 0.66 0.40 -1.86

Regional Indices

Eurekahedge Regional Indices Jun
2016*
2016 Returns 2015 Returns
Eurekahedge North American Hedge Fund Index 0.56 2.33 -0.26
Eurekahedge European Hedge Fund Index -1.58 -2.89 4.85
Eurekahedge Eastern Europe & Russia Hedge Fund Index 1.26 11.17 1.87
Eurekahedge Japan Hedge Fund Index -2.22 -5.28 6.84
Eurekahedge Emerging Markets Hedge Fund Index 2.29 4.04 3.17
Eurekahedge Asia ex Japan Hedge Fund Index 0.45 -1.95 7.63
Eurekahedge Latin American Hedge Fund Index 4.33 12.98 0.61

Emerging markets focused hedge funds led the tables in June, up 2.29% with underlying Latin American mandates up 4.33% and Brazil’s iBovespa gaining 6.30% while providing a boost to the region’s equity long bias hedge funds. Meanwhile, the outcome in developed markets was mixed, with North American mandates up 0.56% while European and Japan dedicated mandates were down 1.58% and 2.22% respectively as markets reacted to disappointing NFP data from the US and Britain’s unwelcome referendum results signalling an exit from the European Union. Over in Asia, market sentiment soured significantly in the aftermath of Brexit but recovered somewhat towards the month end with the Eurekahedge Asia ex Japan Hedge Fund Index up 0.45%. Greater China mandates ended the month up marginally positive with gains of 0.03% while India dedicated strategies posted gains of 1.62% despite news about Rajan’s exit from the RBI.

As of 1H 2016, the Eurekahedge Latin American Hedge Fund Index leads among regional mandates and is up 12.98% year-to-date followed by Eastern Europe & Russia dedicated mandates which trailed closely behind with 11.17% gains. Japan dedicated mandates have been the worst performers for the year with the Eurekahedge Japan Hedge Fund Index down 5.28% year-to-date as a strengthening yen has upended the Bank of Japan’s desire to pursue a loose monetary policy. European mandates also languish at the bottom of the tables are down 2.89% year-to-date with the uncertainty surrounding Brexit likely to complicate things further for the region.

Strategy Indices

Returns across hedge fund strategic mandates were mixed across the board, with CTA/managed futures hedge funds emerging as the clear winners during the month. The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 3.61% in June with managers reporting strong gains from their exposure to commodity and interest rate futures. Bond yields declined steeply in the aftermath of Brexit, and precious metals rallied sharply as investors sought safe haven securities. A number of managers had lowered their overall risk exposure in the lead-up to Brexit, and were quick to reverse their positions and capitalise on winning trends that emerged subsequently - such as the rally in the yen, emerging currency pairs vis a vis US dollar, and short positions in the pound which declined to historic lows. The Eurekahedge Trend Following Hedge Fund Index, a sub-group of the broad CTA Index outshone in particular as a result of these developments and was up 5.96% during the month. Unsurprisingly, the Eurekahedge Equity Long Bias Hedge Fund Index was the worst performer during the month losing 1.86%, and 2.86% year-to-date. Equity long/short funds declined 0.36% in June while equity market neutral hedge funds were down 0.17%.

As of the first half of 2016, the Eurekahedge CTA/Managed Futures Hedge Fund Index lead with gains of 4.69%, followed by the Eurekahedge Distressed Debt Hedge Fund Index which gained 2.60% on the back of recovery in energy prices. Given the dislocations that are likely to abound in the markets as the full ramifications of Brexit come to the fore, relative value trading strategies in the equity, credit and FX space could surprise investors pleasantly in the months to come.

Eurekahedge Strategy Indices Jun
2016*
2016 Returns 2015 Returns
Eurekahedge Arbitrage Hedge Fund Index -0.22 2.20 5.03
Eurekahedge CTA/Managed Futures Hedge Fund Index 3.61 4.69 -0.66
Eurekahedge Distressed Debt Hedge Fund Index -0.91 2.60 -4.41
Eurekahedge Event Driven Hedge Fund Index -0.98 1.74 -1.46
Eurekahedge Fixed Income Hedge Fund Index 0.12 2.04 0.98
Eurekahedge Long Short Equities Hedge Fund Index -0.36 -1.09 3.08
Eurekahedge Macro Hedge Fund Index 0.06 0.46 1.62
Eurekahedge Multi-Strategy Hedge Fund Index 0.55 2.13 2.22
Eurekahedge Relative Value Hedge Fund Index -0.30 1.93 1.24
Eurekahedge Equity Long Bias Hedge Fund Index -1.86 -2.86 -0.32
Eurekahedge Equity Market Neutral Hedge Fund -0.17 -1.59 7.47
Eurekahedge Trend Following Index 5.96 5.63 -2.04
Eurekahedge Global Hedge Fund Indices by Fund Size Jun
2016*
2016 Returns 2015 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.87 1.75 1.19
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.22 0.69 2.79
Eurekahedge Large Hedge Fund Index (> US$500m) 0.54 0.19 2.22
Eurekahedge Billion Dollar Hedge Fund Index 0.11 -0.17 1.72
Mizuho-Eurekahedge Indices Jun
2016*
2016 Returns 2015 Returns
Mizuho-Eurekahedge Index - USD -0.05 -0.25 -0.69
Mizuho-Eurekahedge TOP100 Index - USD -0.21 -1.04 0.85
Mizuho-Eurekahedge TOP300 Index - USD -0.32 -0.84 0.00
Asia-Eurekahedge Indices Jun
2016*
2016 Returns 2015 Returns
Eurekahedge Greater China Hedge Fund Index 0.03 -6.03 9.95
Eurekahedge India Hedge Fund Index 1.62 1.84 4.28

* Based on 40.84% of funds which have reported June 2016 returns as at 12 July 2016


Click here to download our daily indices for free. Our indices are updated with the latest fund returns at 23:30 GMT every day and we encourage you to use them to benchmark your portfolio or fund performance. If you would like us to create a bespoke index for you, please let us know.