Research

Asset Flows Update

Introduction

The Eurekahedge Hedge Fund Index gained 0.88% in April1 while underlying markets as represented by the MSCI World Index2 gained 0.67% over the same period. Among regional mandates, Latin American managers posted the best gains, up 3.93% during the month followed by North American hedge funds which saw gains of 1.25%. Across strategies, relative value hedge funds led the table with gains of 1.96% followed by event driven hedge funds which were up 1.34%.

Final asset flow figures for March revealed that managers reported performance-based gains of US$4.4 billion while recording net asset inflows of US$18.8 billion. Preliminary data for April shows that managers have posted performance-based losses of US$1.5 billion while recording net inflows of US$9.8 billion, bringing the current assets under management (AUM) of the global hedge fund industry to a total of US$2.25 trillion.

Figure 1a: Summary monthly asset flow data since January 2012
 

Key highlights for April 2016:

  • Hedge funds were up 0.88% in April. On a year-to-date basis, hedge funds gained 0.39% - 51.4% of managers were in the red in April 2016 year-to-date compared to 21.2% of managers who posted negative year-to-date returns over the same period in 2015.
  • All strategic mandates were up this month with relative value hedge funds posting the best returns among all strategic mandates up 1.96%. This is followed by event driven and macro hedge funds which increased 1.34% and 1.14% respectively.
  • Long/short equities hedge funds were the only mandate to post negative year-to-date returns and lost 1.35%, the strategy’s worst year-to-date returns since 2008.
  • Latin American hedge funds were up for the third consecutive month, leading the tables with gains of 3.93%. On a year-to-date basis, Latin American hedge fund managers also topped the tables with 9.61% of returns. Year-to-date investor allocations for Latin America currently stands at US$0.7 billion – having seen three consecutive months of inflows for the period ending April.
  • Japan-mandated hedge funds were the only regional mandate to post negative returns in April, down 0.80%. On a year-to-date basis, Japan managers decreased by 3.60% - the mandate’s worst year-to-date return on record.
  • European managers posted their fourth consecutive month of performance-based declines, totaling US$7.4 billion on a year-to-date basis. On the other hand, European managers also recorded the highest investor allocations across all regional mandates – US$13.2 billion on a year-to-date basis.
  • Asia ex-Japan managers were up 0.92% in April, and down 1.93% year-to-date. As of April 2016, investors have allocated US$2.9 billion into Asia ex-Japan mandated hedge funds while a performance-based decline of US$2.5 billion was recorded.
  • The CBOE Eurekahedge Relative Value Volatility Index was up 0.59% in April and 2.36% on a year-to-date basis, leading the suite of CBOE Eurekahedge Volatility Indexes. For more information, please see the CBOE Eurekahedge Volatility Indexes page.

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Footnote
1 Based on 43.00% of funds which have reported April 2016 returns as at 12 May 2016
2 MSCI AC World Index (Local)
 
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