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Index Press Release - 08 August 2012


Hedge funds rebound after four months of negative returns

Hedge funds posted positive returns for July, making it the first month since February to witness healthy returns. In July, the Eurekahedge Hedge Fund Index was up 1.15%1, as managers capitalised on trends across several asset classes. Comparatively the MSCI World Index was up 1.05%2.

Key highlights for July 2012:

  • Hedge funds were back in the black with positive performance numbers in July after four months of negative returns.

  • CTA/managed futures funds witnessed the best monthly return since December 2010, gaining 2.56% in July 2012; systematic trading managers posted 3% returns.

  • The Mizuho-Eurekahedge Top 100 Index rose 2.11% in July, which was double the gain posted by global markets3.

  • Latest research showed that investors increased allocations to global macro investing funds and macro managers have raised over US$25 billion June year-to-date.

  • North American fixed income hedge funds witnessed their highest monthly in more than 10 years – gaining 3.95% during the month4.
 

Main Indices

Main Indices July
2012*
2012 Returns 2011 Returns
Eurekahedge Hedge Fund Index 1.15 2.62 -3.57
Eurekahedge Fund of Funds Index 0.79 1.56 -5.41
Eurekahedge (Long-Only) Absolute Return Fund Index 0.78 5.36 -13.89
Eurekahedge Islamic Fund Index 0.91 3.92 -3.40

The close of July saw most regions in positive territory with European managers posting the best gains as the underlying markets rallied strongly in the last week of the month. Rallies were driven by positive remarks from ECB President Mario Draghi, who suggested further policy support for the region. The Eurekahedge European Hedge Fund Index was up 1.36% during month with the Eurekahedge Eastern Europe & Russia Hedge Fund Index gaining 2.44%.

 

Regional Indices

Regional Indices July
2012*
2012 Returns 2011 Returns
Eurekahedge North American Hedge Fund Index 0.67 3.26 -0.33
Eurekahedge European Hedge Fund Index 1.36 2.79 -6.21
Eurekahedge Eastern Europe & Russia Hedge Fund Index 2.44 0.32 -20.35
Eurekahedge Japan Hedge Fund Index -1.47 -0.58 -1.35
Eurekahedge Emerging Markets Hedge Fund Index 0.89 3.08 -8.06
Eurekahedge Asia ex-Japan Hedge Fund Index 0.44 2.18 -12.43
Eurekahedge Latin American Hedge Fund Index 0.87 5.69 2.06

Among other regions, managers investing in emerging markets and Latin America posted returns of 0.89% and 0.87% respectively, profiting from trends in agricultural commodities and the Euro-spurred month-end rally. Asia ex-Japan and North American funds also witnessed positive returns in July while Japanese hedge funds were down 1.47%. The Japanese sector declined through the month due to a sombre global economic outlook, yen appreciation and European debt concerns – the Tokyo Topix lost 4.39% during the month.

 

Strategy Indices

Most strategies were positive in July amid strong trends across a number of sectors. CTA/managed futures funds posted the best results during the month with managers gaining 2.56% on average – the highest return since December 2010. Systematic/quantitative trading secondary mandates were the best performing, averaging gains of 3% as trend-following strategies proved successful across the fx and agricultural commodities space. Macro investing managers also posted gains from these sectors, delivering returns of 1.49% during the month. A number of macro managers reported gains from exposure to interest rates and fixed income as safe haven assets performed well during the month amid increasing uncertainty in the markets. The Eurekahedge Fixed Income Hedge Fund Index also registered strong returns in July, gaining 1.28%.

Strategy Indices July
2012*
2012 Returns 2011 Returns
Eurekahedge Arbitrage Hedge Fund Index 0.79 3.90 1.35
Eurekahedge CTA/Managed Futures Hedge Fund Index 2.56 1.96 -1.39
Eurekahedge Distressed Debt Hedge Fund Index 0.42 3.05 -2.17
Eurekahedge Event Driven Hedge Fund Index -0.08 1.69 -4.40
Eurekahedge Fixed Income Hedge Fund Index 1.28 5.11 0.85
Eurekahedge Long/Short Equities Hedge Fund Index 0.46 1.89 -6.90
Eurekahedge Macro Hedge Fund Index 1.49 1.16 -1.18
Eurekahedge Multi-Strategy Hedge Fund Index 0.82 3.42 -2.30
Eurekahedge Relative Value Hedge Fund Index 1.00 6.77 -0.78

 

Mizuho-Eurekahedge Indices July
2012*
2012 Returns 2011 Returns
Mizuho-Eurekahedge Index - USD 1.59 2.45 -2.07
Mizuho-Eurekahedge TOP 100 Index - USD 2.11 3.39 1.87
Mizuho-Eurekahedge TOP 300 Index - USD 1.93 2.72 0.04

 


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Footnotes

1 Based on 24.07% of funds which have reported July 2012 returns as at 7 August 2012
2 The MSCI AC World Index All Core – Local Currency
3 Comparison to The MSCI AC World Index All Core
4 Based on 11.63% of funds which have reported July 2012 returns as at 7 August 2012

 

 


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