Hedge funds end 7 month winning streak, down 1.47%

9 July 2013

Hedge funds recorded negative returns in June ending their seven month winning run, as global markets witnessed broad based declines during the month. The Eurekahedge Hedge Fund Index was down 1.47%1 in June, outperforming the MSCI World Index2 which lost by 3.10% during the month.

  • Hedge funds witnessed first losing month of the year, down 1.47% in June 2013
  • Japanese hedge funds outperformed underlying stocks, up by 0.15% in June and 17.38% year-to-date
  • Launch activity picks up with more than 300 funds launched so far in the year
  • Eurekahedge is currently tracking more than 500 funds that have delivered over 15% year-to-date and 250 funds that are up by over 20% year-to-date
  • Distressed debt funds end 11-month winning run after gaining 21% from June 2012 to May 2013
  • CTA/managed futures funds in negative territory for the year, down 1.35% year-to-date

Regional Indices

June witnessed a continuation of downside momentum from the end of May as markets reacted adversely to speculation about a slowdown in the FED’s bond buying operations. The S&P 500 index was down 1.50% while the FTSE100 and Hang Seng index were down 5.58% and 7.10% respectively. Asia ex-Japan markets were the worst hit as lacklustre manufacturing data from China continued the flow of dreary macroeconomic numbers from China. Japanese stocks proved to be more resilient compared to their counterparts - with the Nikkei 225 and Tokyo Topix down 0.71% and 0.17% respectively. Towards the end of the month, market reaction to the US Federal Reserve’s indicated framework was downplayed as both the scale and pace of the slowdown in asset repurchase is contingent upon the US economic recovery which is still far from complete. A further boost of confidence was added to the markets as the European Central Bank re-affirmed the continuation of its loose monetary policy.

All major hedge fund investment regions, with the exception of Japan, finished in negative territory for the month. The Eurekahedge Asia ex-Japan Hedge Fund Index saw the largest decline among all regional mandates, down by 4.63%. It still managed to outperform the underlying markets as the MSCI Asia Ex Japan Index3 dropped by 6.75% for the month. The seven month streak of positive returns for North American hedge funds also came to an end as the Eurekahedge North American Hedge Fund Index was down 0.10% (up 4.07% YTD) – a significant outperformance to the S&P 500 which declined 1.50%. European hedge funds saw another month of dismal returns this year with the Eurekahedge European Hedge Fund Index down 1.16%. In contrast, the Eurekahedge Japan Hedge Fund Index was up 0.15% for the month, bringing its year-to-date returns at an enviable 17.38%. While Prime Minister Abe outlined the ‘3rd arrow’ of his economic policy, it did not do much to boost up the market and funds with low long exposures were the ones that performed well during the month while some managers with exposure to transport and industrials also reported gains.

Strategy Indices

All hedge fund strategies yielded negative returns in June. Multi-strategy hedge funds were the worst performer for the month with a loss of 2.20%, followed by long/short equities (down 1.66%) as the global equity markets witnessed broad-based declines. CTA/managed futures posted the second consecutive month of negative returns, down by 1.14% in June and 1.35% year-to-date. The S&P GSCI precious metals total return index fell 12.21% during the month while CTA managers also suffered losses in equity and bond futures.

Main Eurekahedge Indices

June
2013*

2013 Returns

2012 Returns

Hedge Fund Index

-1.47

2.47

6.38

Fund of Funds Index

-1.79

2.55

4.11

Long-Only Absolute Return Fund Index

-5.01

1.95

16.01

Islamic Fund Index

-1.71

4.40

7.32

Eurekahedge Strategy Indices

June
2013*

2013 Returns

2012 Returns

Arbitrage

-0.46

3.20

6.73

CTA/Managed Futures

-1.14

-1.35

1.37

Distressed Debt

-0.41

9.47

14.02

Event Driven

-1.64

3.39

8.94

Fixed Income

-1.54

1.83

10.70

Long/Short Equities

-1.66

5.10

7.82

Macro

-1.58

0.57

2.82

Multi-Strategy

-2.20

1.02

7.90

Relative Value

-0.75

2.75

10.56

Mizuho-Eurekahedge Indices

June
2013*

2013 Returns

2012 Returns

Mizuho-Eurekahedge Index - USD

-2.02

1.11

5.93

TOP 100 Index - USD

-2.13

1.36

6.46

TOP 300 Index - USD

-2.12

1.17

5.99

Eurekahedge Regional Indices

June
2013*

2013 Returns

2012 Returns

North American

-0.10

4.07

7.83

European

-1.16

2.18

6.64

Eastern Europe & Russia

-3.34

-6.25

5.07

Japan

0.15

17.38

6.03

Emerging Markets

-2.94

0.79

10.89

Asia ex-Japan

-4.63

1.88

12.42

Latin American

-2.13

-1.18

10.40

Eurekahedge Global Hedge Fund Indices by Fund Size

June
2013*

2013 Returns

2012 Returns

Small (< US$100m)

-1.42

2.16

5.73

Medium (US$100m - US$500m)

-1.52

3.24

7.01

Large (> US$500m)

-1.80

2.47

7.18

Billion Dollar

-1.71

2.93

8.37

Asia-Eurekahedge Indices

June
2013*

2013 Returns

2012 Returns

Greater China

-5.19

4.81

13.38

India

-5.48

-7.82

12.62


* Based on 37.82% of funds which have reported June 2013 returns as at 9 July 2013

1 Based on 37.82% of funds which have reported June 2013 returns as at 9 July 2013
2 MSCI AC World Index All Core (USD)
3 MSCI AC Asia Pacific Ex Japan Index All Core

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