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Index Flash Update - 14 July 2015

Gain streak ends for hedge funds with losses of 1.26%

Hedge funds registered their first monthly loss of 2015 with the Eurekahedge Hedge Fund Index down 1.26%1 in June while the MSCI World Index2 declined 2.88% during the month. Despite a strong start to the year, events in Europe and China dented hedge fund returns in June, with overall 1H 2015 returns coming in at 3.31%, comparable to the 3.11% gain seen over the same period last year.

Key takeaways for the month of June 2015:

  • Hedge funds posted their worst monthly returns over the last 24 months - down 1.26% in June, though comfortably outperforming underlying markets. Preliminary figures reveal performance-based losses of US$18.9 billion while net investor flows were positive at US$3.7 billion.
  • European managers were down 1.11% in June though managing to outperform the MSCI AC Europe Index by 3.71%.
  • Japan was the only developed market mandate which ended June in the positive, up 0.37% during the month and 5.34% year-to-date. Annual gains for 2014 stood at 4.40%.
  • The Eurekahedge Long/Short Equity Hedge Fund Index is up 6.32% year-to-date, comfortably outstripping its 2014 annual gains of 3.35% as well as outperforming the MSCI AC World Index which is up 3.71% in the first half of 2015.
  • Asia ex-Japan mandated hedge funds lost 1.67% and recorded US$1 billion worth of performance-based losses based on preliminary numbers in the worst month for regional managers since the taper tantrum of 2013.
  • CTA/managed futures funds are the only hedge fund strategy in the red for the year, down 0.20% June 2015 year-to-date following steep losses of 2.63% during the month.
Index of the Month Jun
2015*
2015 Returns 2014 Returns
Eurekahedge Greater China Hedge Fund Index -3.24 21.93 7.63

Main Indices

Main Eurekahedge Indices Jun
2015*
2015 Returns 2014 Returns
Eurekahedge Hedge Fund Index -1.26 3.31 4.40
Eurekahedge Fund of Funds Index -1.41 2.76 3.45
Eurekahedge Long-only Absolute Return Fund -2.21 5.56 3.42
Eurekahedge Islamic Fund Index -1.37 2.19 2.64

Regional Indices

Eurekahedge Regional Indices Jun
2015*
2015 Returns 2014 Returns
Eurekahedge North American Hedge Fund Index -0.42 2.50 5.52
Eurekahedge European Hedge Fund Index -1.11 4.70 0.70
Eurekahedge Eastern Europe & Russia Hedge Fund Index -2.53 7.00 -23.89
Eurekahedge Japan Hedge Fund Index 0.37 5.34 5.82
Eurekahedge Emerging Markets Hedge Fund Index -1.17 8.22 3.30
Eurekahedge Asia ex Japan Hedge Fund Index -1.67 13.17 9.13
Eurekahedge Latin American Hedge Fund Index 0.31 1.87 2.16

Barring Japan and Latin America mandated hedge funds; most regional mandates ended the month in negative territory. Japanese hedge funds delivered the best returns and were up 0.37%, outperforming underlying markets as the Nikkei 225 Index declined 1.59% in June largely over concerns emanating from a slowdown in China. Japanese market-neutral funds led with gains of 0.94%, followed by long/short equity funds which were up 0.34% for the month. Latin America mandated hedge funds were up 0.31% as the underlying Ibovespa gained 0.61% during the month. Asia ex-Japan mandated hedge funds posted their worst monthly return since June 2013 and were down 1.67%, though managing to outperform underlying markets as the MSCI Asia Pacific ex Japan Index declined 4.45% during the month. Managers focused on the Greater China region took the biggest hit and were down 3.24% though outperforming the Hang Seng and the CSI 300 Index, which lost 4.28% and 7.28% respectively in June. On a year-to-date basis, the Eurekahedge Asia ex Japan Hedge Fund Index is up 13.17% and has outperformed the MSCI Asia ex Japan Index by 8.22%. European hedge funds lost 1.11% during the month, but outperformed underlying markets as the MSCI AC Europe Index3 declined 4.82% due to the unravelling Greek debt crisis towards the month end. Meanwhile, North America mandated hedge funds inched downward by 0.42%, outperforming the MSCI North America Index which declined 1.94% over apprehensions regarding a possible double-interest rate hike during the year.

Strategy Indices

All strategic mandates ended the month in negative territory, with CTA/managed futures funds down 2.63%, followed by macro (-1.86%), multi-strategy (-1.30%), event driven (-1.17%) and distressed debt (-1.00%). CTA/managed futures hedge funds posted their third consecutive month of losses in June, down 4.15% over the last three months; being the only hedge fund strategy which is in the red on a year-to-date basis, down 0.20% for the year. Managers utilising this strategy reported steep losses from their long exposure to European equity futures, while short positions on the Japanese yen and US agricultural futures also dented returns.  Relative value strategies fared the best in June and were down 0.25% benefitting from their market agnostic approach to investing. On a year-to-date basis, the Eurekahedge Long/Short Equity Hedge Fund Index is up 6.32% June year-to-date, comfortably outstripping its gains of 3.35% over the same period last year as well as outperforming the MSCI AC World Index which is up 3.71% in the first half of the year. Asian long/short equity managers lead with gains of 11.94%, followed by European and North American managers who are up 6.10% and 3.14% respectively.

Eurekahedge Strategy Indices Jun
2015*
2015 Returns 2014 Returns
Eurekahedge Arbitrage Hedge Fund Index -0.33 3.18 2.80
Eurekahedge CTA/Managed Futures Hedge Fund Index -2.63 -0.20 9.26
Eurekahedge Distressed Debt Hedge Fund Index -1.00 0.79 0.32
Eurekahedge Event Driven Hedge Fund Index -1.17 3.25 2.48
Eurekahedge Fixed Income Hedge Fund Index -0.62 1.66 3.35
Eurekahedge Long Short Equities Hedge Fund Index -0.80 6.32 3.38
Eurekahedge Macro Hedge Fund Index -1.86 1.24 3.56
Eurekahedge Multi-Strategy Hedge Fund Index -1.30 2.86 4.21
Eurekahedge Relative Value Hedge Fund Index -0.25 3.40 2.92
Eurekahedge Global Hedge Fund Indices by Fund Size Jun
2015*
2015 Returns 2014 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) -1.23 3.22 4.21
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) -1.32 3.70 4.61
Eurekahedge Large Hedge Fund Index (> US$500m) -1.25 2.60 5.52
Eurekahedge Billion Dollar Hedge Fund Index -1.52 1.79 4.92
Mizuho-Eurekahedge Indices Jun
2015*
2015 Returns 2014 Returns
Mizuho-Eurekahedge Index - USD -1.42 0.48 1.18
Mizuho-Eurekahedge TOP100 Index - USD -2.26 0.34 2.32
Mizuho-Eurekahedge TOP300 Index - USD -1.66 0.27 1.77
Asia-Eurekahedge Indices Jun
2015*
2015 Returns 2014 Returns
Eurekahedge Greater China Hedge Fund Index -3.24 21.93 7.63
Eurekahedge India Hedge Fund Index 0.22 4.92 39.30

* Based on 48.24% of funds which have reported June 2015 returns as at 14 July 2015


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