Research

Asset Flows Update

Introduction

The Eurekahedge Hedge Fund Index was up 0.48% in September1 while underlying markets as represented by the MSCI World Index2 grew 0.19% over the same period. Among regional mandates, Japan managers led the table up 1.27% during the month followed by North American managers who were up 0.93%. Across strategies, distressed debt hedge funds led the table with gains of 1.12% followed by event driven hedge funds with 0.86%.

Final asset flow figures for August revealed that managers reported performance-based gains of US$5.6 billion while recording net asset outflows of US$7.0 billion. Preliminary data for September shows that managers have posted performance-based gains of US$3.0 billion while recording net outflows of US$8.8 billion, bringing the current assets under management (AUM) of the global hedge fund industry to a total of US$2.25 trillion.

Figure 1a: Summary monthly asset flow data since January 2012
 

Key highlights for September 2016:

  • Hedge funds recorded their fifth month of investor redemptions pushing net investor allocations into the red for the year with US$8.7 billion outflows as of September 2016 year-to-date – the steepest year-to-date redemptions since 2009. Nonetheless, investors have been selective in their allocations across strategies with CTA/managed futures and multi-strategy hedge funds seeing stronger subscriptions.
  • The US$207.5 billion event driven hedge fund space has seen US$14.0 billion investor redemptions over the past nine months, the strategy’s steepest YTD outflows on record and up from US$1.5 billion outflows over the same period last year. 
  • Asset base for the US$1.49 trillion North American hedge fund industry grew by US$13.1 billion over the year with most of this growth attributed to performance-driven gains (US$18.5 billion year-to-date) while redemptions totalling US$5.5 billion were recorded over the same period.
  • The US$254.6 billion CTA/managed futures hedge fund industry has seen its asset base grow by US$17.1 billion over the past nine months, with the strategy recording the highest year-to-date investor inflows (US$11.0 billion).
  • The US$529.6 billion European hedge fund industry has seen its asset base contract by US$5.5 billion year-to-date, with managers seeing strong investor redemptions totalling US$17.1 billion over the past five consecutive months for the period ending September. The Eurekahedge European Hedge Fund Index was down 0.39% year-to-date.
  • Within Asia Pacific, Japan dedicated strategies have been the worst performing, losing 3.00% while broad Asia ex-Japan mandates are up a modest 2.39% with strength led by underlying India focused hedge funds (+8.47% for the year). Indian hedge funds have outperformed the BSE Sensex Index which gained 6.69% over the past nine months.
  • While underlying Greater China dedicated hedge funds fell 0.97% over the year, managers still beat underlying markets with the CSI 300 Index down 12.80% over the same period.  
  • The top performing North American hedge funds have returned 18% on average for the year, well ahead of the star performers in Asia and Europe which have gained around 8% each. Of the top 150 funds, 71% of North American managers posted double digit returns as of August 2016 year-to-date compared with 51% of managers over the same period in 2015. More details on this in the 2016 Key Trends in North American Hedge Funds report.

The full article is available in The Eurekahedge Report accessible to paying subscribers only.

Subscribers may continue to login as usual to download the full report and non-subscribers may email database@eurekahedge.com to enquire on how to obtain the full research report.


Footnote
1 Based on 50.56% of funds which have reported September 2016 returns as at 13 October 2016
2 MSCI AC World Index (Local)