Hedge funds attract US$50 billion in five months

12 June 2013

Hedge funds witnessed the seventh consecutive month of positive returns in May amid mixed returns in global markets. The Eurekahedge Hedge Fund Index was up 0.20%1 during the month, while the MSCI World Index2 was down 0.45% in May.

Key takeaways for the month of May 2013:

  • Hedge funds witnessed the 5th consecutive month of net allocations and 7th consecutive month of positive returns - up 3.89% year-to-date
  • Total asset flows for 2013 currently stand at US$50 billion with total size of the industry at US$1.87 trillion
  • Asia ex-Japan hedge funds outperformed underlying markets for three consecutive months - up 3.26% since end-February
  • Eurekahedge is currently tracking almost 500 funds that have delivered more than 15% year-to-date and 250 funds that are up by over 20% year-to-date
  • Distressed debt funds extended winning streak to 11 consecutive months, gaining 21% since end-June 2012
  • CTA/managed futures funds declined by 1.69% in May 2013


Regional Indices

May started off on a good note with positive economic data from the US, leading to rallies in global equity markets, specifically in North America where market indices reached all-time highs. The US dollar strengthened against most major currencies, going above 100 level against the Japanese yen for the first time since 2009. The positive sentiment turned mid-month amid weak manufacturing numbers from China and uncertainty regarding the withdrawal of the US Federal Reserve’s asset purchase program.

Most major hedge fund investment regions delivered positive returns in May, with Asia ex-Japan hedge funds reporting the strongest returns during the month. The managers outperformed the market for the third consecutive month gaining 2.35% in May while the MSCI Asia Ex Japan Index3 was down 4.35% - the largest returns posted by funds focused on Greater China, up 4% in May. The Eurekahedge Japan Hedge Fund Index grew 0.42% in May, bringing its year-to-date return to 18.34% and extending their winning run to the ninth month making it the longest winning streak on record for Japanese funds. The month’s return represents an outperformance by the managers as the Nikkei 225 declined 0.62% while the Tokyo Topix was down 2.52% during May. The Japanese markets witnessed some volatility during the month as the Nikkei fell 7.3% in a single day, amid concerns about US stimulus, before rallying at the month end after some positive announcements from the Japanese central bank.

The Eurekahedge North American Hedge Fund Index was up 1.06% in May bringing its year-to-date return to 4.46%. The S&P500 was up 2.08% in May but witnessed a mid-month trend reversal, declining to 1630 after reaching an intra-day high of 1687 in the fourth week of May. This trend was also witnessed across European bourses, however most European indices finished the month higher holding on to gains generated after the ECB’s rate cut. The Eurekahedge European Hedge Fund Index grew 0.83% during the month.

Strategy Indices

Returns were mixed among the different strategic indices, with distressed debt hedge funds posting the strongest gains of 1.87%. Distressed debt managers have witnessed eleven straight months of positive returns, gaining 21% since end-June 2012. The distressed debt sector posted some gains earlier in the month from the positive sentiment around global economic data and the ECB rate cut, but the increased risk aversion at the end of the month led to some losses. The BofA Merrill Lynch High Yield Index was down 0.43% in May.

CTA/managed futures funds posted the largest negative returns during the month, declining by 1.69% on average. Trend-followers suffered due to the reversal in market sentiment mid-month, although some short-term systematic funds witnessed some gains. A number of managers also reported losses from the energy and precious metals sector. On the other hand some managers investing in FX delivered positive returns gaining from short AUD/USD positions.

Main Eurekahedge Indices

May
2013*

2013 Returns

2012 Returns

Hedge Fund Index

0.20

3.89

6.33

Fund of Funds Index

0.17

4.01

4.10

Long-Only Absolute Return Fund Index

0.72

7.42

15.95

Islamic Fund Index

2.87

6.20

7.39

Eurekahedge Strategy Indices

May
2013*

2013 Returns

2012 Returns

Arbitrage

-0.29

3.03

6.74

CTA/Managed Futures

-1.69

-0.19

1.39

Distressed Debt

1.87

9.34

13.91

Event Driven

1.22

5.01

9.00

Fixed Income

0.14

3.22

10.60

Long/Short Equities

1.46

6.99

7.76

Macro

-0.90

1.26

2.53

Multi-Strategy

0.31

3.32

7.84

Relative Value

-0.08

3.47

10.58

Mizuho-Eurekahedge Indices

May
2013*

2013 Returns

2012 Returns

Mizuho-Eurekahedge Index - USD

-0.95

2.77

5.93

TOP 100 Index - USD

-0.70

3.15

6.46

TOP 300 Index - USD

-0.93

2.95

5.99

Eurekahedge Regional Indices

May
2013*

2013 Returns

2012 Returns

North American

1.06

4.46

7.93

European

0.83

3.21

6.63

Eastern Europe & Russia

-1.51

-3.99

5.07

Japan

0.42

18.34

6.15

Emerging Markets

0.60

3.66

10.88

Asia ex-Japan

2.35

7.61

12.43

Latin American

-0.34

1.14

10.40

Eurekahedge Global Hedge Fund Indices by Fund Size

May
2013*

2013 Returns

2012 Returns

Small (< US$100m)

0.32

3.69

5.71

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

0.27

4.48

6.87

Large (> US$500m)

-0.58

3.61

6.98

Billion Dollar

-0.22

4.20

8.38

Asia-Eurekahedge Indices

May
2013*

2013 Returns

2012 Returns

Greater China

3.96

10.26

13.48

India

-1.78

-1.69

12.64


* Based on 45.23% of funds which have reported May 2013 returns as at 11 June 2013

1 Based on 45.23% of funds which have reported May 2013 returns as at 11 June 2013
2 MSCI AC World Index All Core (USD)
3 MSCI AC Asia Pacific Ex Japan Index All Core (USD)

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