Hedge Fund Performance Commentary


Hedge funds were up a marginal 0.03% in August1, with much of the weakness being led by underlying CTA/managed futures and macro mandated hedge funds. Meanwhile, underlying markets, as represented by the MSCI AC World Index (Local) grew 0.48%. While August was a relatively quiet month, central bank actions dominated the trading scene especially towards the end of the month. This affected much of the trend-following and commodity-focused hedge funds, both of which are sub-sets of the broader CTA/managed futures strategy. Nonetheless, close to 60% of the underlying constituent hedge funds for the Eurekahedge Hedge Fund Index were in positive territory for the month, with majority of them being long/short equity mandated. Asia ex-Japan hedge funds led performance among regional mandates, up 1.26% in August, followed by Latin American hedge funds which were up 0.71%. While among strategic mandates, distressed debt managers topped the table, gaining 1.71% during the month. On the other hand, CTA/managed futures hedge funds languished, declining 1.91%, followed by macro-mandated hedge funds which fell 0.32% over the same period.

On a year-to-date basis, hedge funds were up 2.58% with close to 60% of managers in positive territory. Roughly 14% of these managers posted year-to-date returns in excess of 10% over the past eight months, with 40% of these managers being long/short equity mandated, while another 20% are CTA/managed futures mandated hedge funds.

Figure 1: August 2016 and July 2016 returns across regions

All regional mandates were up in August with the exception of Japan-mandated hedge funds which declined 0.93% during the month. On the other hand, Asia ex-Japan hedge funds led the table among regional mandates, gaining 1.26%. Latin American hedge funds were also up in August, gaining 0.71%, followed by European and North American hedge funds which grew 0.66% and 0.57% respectively. On a year-to-date basis, Latin American hedge funds led the table, up 15.75% followed by North American and Asia ex-Japan hedge funds which gained 4.54% and 1.54% respectively. On the other hand, European and Japanese-mandated hedge funds lost 0.95% and 4.51% respectively year-to-date.

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1Based on 51.32% of funds which have reported August 2016 returns as at 14 September 2016