Research

Asset Flows Update

Introduction

The Eurekahedge Hedge Fund Index was up 1.28% in October1 while underlying markets as represented by the MSCI World Index2 gained 2.56% over the same period. Among regional mandates, Asia ex-Japan managers led the table, up 2.82% during the month followed by Japanese managers who were up 1.77%. Across strategies, CTA/managed futures hedge funds led the table with gains of 2.66% followed by macro hedge funds which were up 1.72%.

Final asset flow figures for September 2017 revealed that managers reported performance-based gains of US$0.8 billion while recording net asset inflows of US$2.6 billion. Final performance-based figure for September saw a decline in numbers as full performance data came in. Insurance-linked securities (ILS)hedge funds which posted losses in August and September due to hurricane heavy season, contributed much of this contraction, as well as Trend following managers as markets experienced sharp reversal in September. Preliminary data for October shows that managers have posted performance-based gains of US$11.1 billion while recording net outflows of US$3.1 billion, bringing the current assets under management (AUM) of the global hedge fund industry to a total of US$2.38 trillion.

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

 

Key highlights for October 2017:

  • Hedge funds were up 1.28% in October with 2017 year-to-date gains coming in at 6.99% – roughly 77% of fund managers are in positive territory year-to-date while almost 32% have posted double digit gains.
  • Total hedge fund assets grew by US$158.64 billion over the past ten months with US$85.4 billion attributed to investor inflows while managers posted performance-based gains of US$73.2 billion. The industry’s total assets currently stands at US$2.38 trillion. Investors have been selective in their allocations across strategies with long/short equities and arbitrage hedge funds seeing stronger subscriptions year-to-date.
  • Smaller funds managing assets in the range of US$100-500 million have raised almost US$28 billion this year, while the billion dollar club has accounted for US$48 billion in inflows as investor appetite for hedge funds continues to improve.
  • The US$839.5 billion long/short equities mandated hedge fund industry saw the highest net investor inflows among strategic mandates for 2017 year-to-date with US$19.7 billion. Managers have posted performance-based gains of US$45.8 billion as of October 2017 year-to-date, the highest gross performance-based increase among all strategic mandates.
  • AUM for the North American hedge fund industry has reached a record high of US$1.59 trillion as of October 2017. Investor subscriptions for 2017 year-to-date stood at US$51.7 billion, with US$43.7 billion of performance-based gains recorded over the same period of time.
  • Distressed debt managers posted their fifth consecutive month of redemptions, totaling US$1.1 billion while recording modest performance-based gains of US$1.1 billion on a year-to-date basis, seeing its asset base contracted by US$0.33 billion year-to-date.
  • As of October 2017 year-to-date, Asian funds have recorded a growth in AUM of US$19.2 billion, with US$13.1billion accounted for by performance-based gains while the remainder, roughly US$6.1 billion, came through net investor allocations. Asia ex-Japan managers were up 18.55% for the year, led the table among regional peers with underlying Greater China and Indian managers up 26.66% and 23.62% year-to-date respectively. Japan focused funds were up 10.77% over the same period.
  • Latin American Hedge fund Index has posted the highest three and five-year annualised returns compared to its underlying market as represented by MSCI EM Latin America Index IMI (Local). For more details see in ‘2017 Overview Key Trends in Latin American Hedge Funds’ report.
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Footnote
1 Based on 61.95% of funds which have reported October 2017 returns as at 16 November 2017
2 MSCI AC World Index (Local)
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