Research

Asset Flows Update

Introduction

The Eurekahedge Hedge Fund Index gained 0.33% in May1 while underlying markets as represented by the MSCI World Index2 were up 0.84% over the same period. Among regional mandates, North American managers posted the best gains, up 1.43% during the month followed by Asia ex-Japan hedge funds which saw gains of 1.26%. Across strategies, event driven hedge funds led the table with gains of 1.69% followed by long/short equities hedge funds which were up 1.09%.

Final asset flow figures for April 2018 revealed that managers reported performance-based gains of US$5.9 billion while recording net asset outflows of US$4.5 billion. Preliminary data for May shows that managers have posted performance-based losses of US$3.6 billion. Preliminary net asset flows were negative in May with US$5.2 billion of outflows from the industry. This brings the current assets under management (AUM) of the global hedge fund industry to a total of US$2.47 trillion.

Figure 1a: Summary monthly asset flow data since January 2013
 

Key highlights for May 2018:

  • Hedge funds posted their second consecutive month of gains, up 0.33% in May and 0.48% year-to-date. Performance has varied sharply with small to medium sized hedge funds delivering gains while funds managing in excess of US$500 million in assets seeing losses of 0.34% with their sub-group of billion dollar hedge funds declining 0.88% in May.
  • Total hedge fund assets grew by US$26.4 billion over the past five months, which compares with a growth in total AUM of US$92.9 billion over the same period last year. Investors have been selective in their allocations across strategies with long/short equities and macro hedge funds seeing stronger subscriptions year-to-date.
  • Assets under management for CTAs have shrunk by 7.13% in 2018 as underlying managers posted their fourth consecutive month of investor redemptions with net outflows totalling US$8.4 billion. Managers have posted performance-based losses of US$13.9 billion as of May 2018 year-to-date; the highest performance-based loss among all strategic mandate.
  • Asset base for the US$1.65 trillion North American hedge fund industry grew by US$17.3 billion over the year, with most of this growth attributed to investor allocations of  US$19.4 billion year-to-date, while performance-based losses totalling US$2.1 billion were recorded.
  • Assets under management for the funds of hedge funds industry has dipped below the US$400 billion mark to end at US$397 billion as of 2018 year-to-date. To contextualise, this is almost 50% below their high point of US$808 billion reached in 2007. The average fund of hedge fund has returned 3.18% annualised over the last five years net of fees. For more details see the 2018 Key Trends in Global Funds of Hedge Funds report.

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Footnote
1 Based on 55.10% of funds which have reported May 2018 returns as at 15 June 2018
2 MSCI AC World Index (Local)
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