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Index Flash Update - 12 May 2015

Emerging markets lead hedge fund gains in April

Hedge funds registered their fourth consecutive month of gains since the start of 2015, with the Eurekahedge Hedge Fund Index up 0.52%1 in April while the MSCI World Index2 gained 1.25% during the month.

Key takeaways for the month of April 2015:

  • Hedge funds were up 0.52% in April and 3.42% year-to-date helped by strong gains from emerging market mandated funds which gained 4.06% in April, their best performance since September 2010.
  • Hedge funds recorded their third consecutive month of positive asset flows as investor allocations reached US$30 billion since the start of February.
  • Long/short equity strategies lead with returns of 1.85%, bringing April year-to-date returns up to 5.04%, the highest among all strategic mandates.
  • Asia ex-Japan hedge funds returned 6.81% in April, 11.87% year-to-date as Greater China mandated hedge funds gained 15.36% during the month.
  • Macro and CTA/managed futures funds were the worst performers during the month, down 0.61% and 1.38% respectively.
Index of the Month Apr
2015 Returns 2014 Returns
Eurekahedge Asia ex Japan Hedge Fund Index 6.81 11.87 9.43

Main Indices

Main Eurekahedge Indices Apr
2015 Returns 2014 Returns
Eurekahedge Hedge Fund Index 0.52 3.42 4.46
Eurekahedge Fund of Funds Index 0.05 3.00 3.48
Eurekahedge Long-only Absolute Return Fund 3.57 7.31 3.44
Eurekahedge Islamic Fund Index 2.12 4.70 2.57

Regional Indices

Eurekahedge Regional Indices Apr
2015 Returns 2014 Returns
Eurekahedge North American Hedge Fund Index 0.25 2.25 5.59
Eurekahedge European Hedge Fund Index 0.44 4.48 0.60
Eurekahedge Eastern Europe & Russia Hedge Fund Index 9.09 13.61 -25.30
Eurekahedge Japan Hedge Fund Index 1.92 3.30 5.82
Eurekahedge Emerging Markets Hedge Fund Index 4.06 6.86 3.49
Eurekahedge Asia ex Japan Hedge Fund Index 6.81 11.87 9.43
Eurekahedge Latin American Hedge Fund Index 1.82 2.36 2.49

Weaker than expected US Q1 growth numbers added yet another twist to the much awaited finale for the Fed’s Rate Rise Saga, with the strengthening US dollar appearing to be the latest villain to take on the Fed. It remains to be seen if the Q1 growth numbers were merely a blip, much like in 2014, or something more ominous emerging from the apparent divergence in central bank policy. Meanwhile over in Europe, the ECB’s QE program appears to be reaping some dividends, though the potential default of Greece could post some headwinds in the short-term.
Eastern Europe and Russia hedge funds posted the strongest returns during the month with the Eurekahedge Eastern Europe & Russia Hedge Fund Index up 9.09% supported by underlying gains from Russian equity markets which recovered on the back of increased oil prices and the strengthening rouble. Asia ex-Japan managers were up 6.81% during the month led by managers with a Greater China mandate who posted strong gains as the CSI 300 Index soared 17.85% during the month. Preliminary data shows that the Eurekahedge Greater China Hedge Fund Index is up 15.36%, as the ‘Shanghai-Hong Kong stock-connect’ continues to swing in full motion. Despite weaker macroeconomic data from the mainland, the expectation remains strong that PBOC will bring down rates to meet its 7% GDP growth target, the first installment of which happened earlier this month. Japan dedicated hedge funds also posted strong gains, up 1.92% as the weaker yen continued to support underlying equity markets. European managers were up 0.44% in April and 4.48% year-to-date, outperforming the MSCI Europe Index3 which gained 0.25% during the month. North American managers posted the weakest returns, up 0.25% as the strengthening US dollar took a bite out of US corporate earnings. Meanwhile Latin American managers gained 1.82%, supported by the gains in underlying Brazilian equity markets as the IBOVESPA climbed 8.95% during the month.

Strategy Indices

Most hedge fund strategies, barring Macro and CTA/managed futures ended the month in positive territory. Long/short equity managers led the pack with returns of 1.85% supported by strong gains from their exposure to emerging market economies – up 6.16%. While almost all underlying regional mandates overseen by long/short equity managers were in the green, Europe (excluding Eastern Europe and Russia) was a flat -0.06% while India dedicated equity managers lost 3.15% - their steepest lost since the ‘taper tantrum’ days of 2013. Event driven funds were up 1.35%, followed by multi-strategy and fixed income funds which gained 0.81% and 0.61% respectively. Macro and CTA/managed futures funds were down 0.61% and 1.38% respectively, with managers reporting losses from their positions in FX, commodity and bond futures. The US dollar reversed its upwards trend during the month, declining 4.15% against the euro which contributed to losses for systematic trading strategies. Short exposure to energy futures also backfired as oil prices saw a trend reversal during the month as a cut back in production capacity shored up prices, with the S&P GS Energy Total Return Index4 seeing a double digit gain of 17.43% during the month. Bond futures were another detractor to performance, as yields on German and Japanese bonds edged upwards following weak US economic data. It seems that the perceived delay in the US interest rate hike (from June to possibly September) has upset some of the key convictions of macro and CTA/managed futures funds which left them on the wrong side of the markets in April.

Eurekahedge Strategy Indices Apr
2015 Returns 2014 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.46 2.46 2.79
Eurekahedge CTA/Managed Futures Hedge Fund Index -1.38 2.91 9.43
Eurekahedge Distressed Debt Hedge Fund Index 0.51 1.14 1.13
Eurekahedge Event Driven Hedge Fund Index 1.35 3.70 2.04
Eurekahedge Fixed Income Hedge Fund Index 0.61 2.29 3.24
Eurekahedge Long Short Equities Hedge Fund Index 1.85 5.04 3.47
Eurekahedge Macro Hedge Fund Index -0.61 2.57 3.70
Eurekahedge Multi-Strategy Hedge Fund Index 0.81 2.99 4.18
Eurekahedge Relative Value Hedge Fund Index 0.49 1.92 2.50
Eurekahedge Global Hedge Fund Indices by Fund Size Apr
2015 Returns 2014 Returns
Eurekahedge Small Hedge Fund Index (< US$100m) 0.48 3.36 4.26
Eurekahedge Medium Hedge Fund Index (US$100m - US$500m) 0.46 3.66 4.63
Eurekahedge Large Hedge Fund Index (> US$500m) 0.08 2.99 5.54
Eurekahedge Billion Dollar Hedge Fund Index 0.12 2.62 4.92
Mizuho-Eurekahedge Indices Apr
2015 Returns 2014 Returns
Mizuho-Eurekahedge Index - USD 0.93 1.78 1.18
Mizuho-Eurekahedge TOP100 Index - USD 0.36 2.57 2.32
Mizuho-Eurekahedge TOP300 Index - USD 0.62 1.83 1.77
Asia-Eurekahedge Indices Apr
2015 Returns 2014 Returns
Eurekahedge Greater China Hedge Fund Index 15.36 22.04 8.04
Eurekahedge India Hedge Fund Index -3.29 2.75 38.83

* Based on 39.45% of funds which have reported April 2015 returns as at 12 May 2015

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