Research

Asset Flows Update

Introduction

The Eurekahedge Hedge Fund Index gained 0.40% in May1 while underlying markets as represented by the MSCI World Index2 grew by 1.28% over the same period. Among regional mandates, North American managers posted the best returns, up 1.03% during the month followed by European and Japanese hedge funds which saw gains of 1.00% each. Across strategies, distressed debt hedge funds led the tables with gains of 1.66% followed by event driven hedge funds which were up 1.29%.

Final asset flow figures for April revealed that managers reported performance-based losses of US$1.1 billion while recording net asset inflows of US$10.8 billion. Preliminary data for May shows that managers have posted performance-based gains of US$3.5 billion while recording net inflows of US$3.7 billion, bringing the current assets under management (AUM) of the global hedge fund industry to a total of US$2.26 trillion.

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

Key highlights for May 2016:

  • Hedge funds were up 0.40% in May. On a year-to-date basis, hedge funds gained 0.75% - 48.4% of managers were in the red as of May 2016 year-to-date compared to 19.5% of managers who posted negative year-to-date returns over the same period in 2015.
  • Among strategic mandates, distressed debt hedge fund managers led the tables with gains of 1.66% - their third consecutive month of gains in 2016. This is followed by event driven and arbitrage hedge funds which were up 1.29% and 0.94% during the month respectively.
  • As at end-May 2016, event driven hedge funds led the tables with gains of 2.96%, followed by distressed debt hedge funds which were up 2.66%. On the other hand, long/short equities mandated hedge funds were the only mandate to post negative year-to-date returns (down 0.55%) - the strategy’s worst year-to-date returns since 2008.
  • Among regional mandates, North American hedge funds are in the lead with a 1.03% increase in May and are up 1.94% year-to-date. North American managers recorded the highest year-to-date net inflows among regional mandates this year, totalling US$15.7 billion compared to US$24.9 billion over the first five months last year.
  • European hedge funds were up 1.00% this month, and down 1.25% year-to-date – the mandate’s worst start to the year on record. European managers recorded strong allocations this year, with net inflows totalling US$13.4 billion during the first five months of 2016, up from US$9.2 billion over the same period last year.
  • Japanese managers posted their worst year-to-date returns on record, down 2.96%. Nonetheless, they have outperformed the Nikkei 225 Index which lost 9.45% over the same period.
  • Asia ex-Japan managers gained 0.23% during the month and lost 2.11% year-to-date. As at end-May 2016, investors allocated US$2.5 billion to Asia ex-Japan mandated hedge funds, roughly half of the allocation volume seen in the previous year.
  • The CBOE Eurekahedge Short Volatility Index was up 1.95% in May, leading the suite of CBOE Eurekahedge Volatility Indexes during the month. For more information, please see the CBOE Eurekahedge Volatility Indexes page.

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Footnote
1 Based on 64.66% of funds which have reported May 2016 returns as at 16 June 2016
2 MSCI AC World Index (Local)
 
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