Asset Flows Update

The Eurekahedge Hedge Fund Index was up 2.03%1 in May, supported by strong equity market performance as represented by the MSCI ACWI (Local), which gained 4.32%. Global equities ended the month on a positive note driven by market optimism on the reopening of major economies and expansionary central bank policies. The tech-heavy NASDAQ recorded a new all-time high as it gained 6.75% in May, while the S&P 500 was up 4.53% over the same period. In the same vein, European equities also climbed as the French and German governments unveiled a half-trillion recovery fund to help EU countries hit by the pandemic. The DAX and CAC 40 gained 6.68% and 2.70% respectively throughout the month. On the other hand, Asian equities posted mixed returns, with the Nikkei 225 up 8.34% and the Hang Seng down 6.83%. The growing trade tension between the US and China and the ongoing political friction in Hong Kong continued to weigh on the special administrative region’s equity benchmark performance.

Final asset flow figures for April showed that hedge fund managers recorded performance-based gains totalling US$43.2 billion and net investor redemptions of US$0.5 billion throughout the month. Preliminary data for May estimated that the global hedge fund industry witnessed US$9.3 billion of performance-driven gains combined with net investor inflows of US$7.4 billion. The assets under management (AUM) of the global hedge fund industry stood at US$2,097.7 billion as of end-May 2020. On an annual basis, the industry had seen US$125.7 billion of performance decline and US$79.0 billion of investor redemptions over the first five months of 2020.

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

Key highlights for May 2020:

  • The Eurekahedge Hedge Fund Index gained 2.03% in May, recouping some of the losses it suffered in the first quarter, supported by the robust performance of the underlying global equity market as seen by the 4.32% return of the MSCI AC World Index over the same month.
  • The global hedge fund industry AUM has declined by US$204.7 billion as of May 2020 year-to-date. Net outflows for Q1 stood at US$85.9 billion, which compares to the US$94.7 billion of net outflows in Q4 2018.
  • The Eurekahedge CTA/Managed Futures Hedge Fund Index was up 0.46% in May, bringing its year-to-date return to 1.18%. The reopening of several major economies increased the global demand for oil during the month, providing support for oil prices. The market prices of US and Brent crudes increases by around 50% throughout the month.
  • The Eurekahedge Fixed Income Hedge Fund Index was up 2.22% in May, supported by lower government bond yields and the recovery of the high yield bond market as seen by the 4.57% return of the US High Yield Master Index II over the month.
  • Hedge funds utilising AI strategies were up 1.37% in May – recording its third consecutive month of positive performance. On a year-to-date basis, the Eurekahedge AI Hedge Fund Index was up 1.89% as of May 2020.
  • The Eurekahedge Crypto-Currency Hedge Fund Index was up 5.70% in May, supported by the positive performance of Bitcoin which ended the month up 9.61%. Fund managers focusing on crypto-currencies gained 27.65% as of May 2020.

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1 Based on 48.79% of funds which have reported May 2020 returns as at 12 June 2020