Research

Asset Flows Update

Introduction

The Eurekahedge Hedge Fund Index was up 1.52% in July1 while underlying markets as represented by the MSCI World Index2 gained 4.18% over the same period. Among regional mandates, Latin American managers led the table, up 4.44% during the month followed by Asia ex-Japan managers who grew 2.79%. Across strategies, relative value hedge funds led the table with gains of 2.51% followed by long/short equities hedge funds which were up 2.34%.

Final asset flow figures for June revealed that managers reported performance-based gains of US$2.9 billion while recording net asset outflows of US$14.1 billion. Preliminary data for July shows that managers have posted performance-based gains of US$10.5 billion while recording net outflows of US$5.7 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 July 2016:

  • Hedge funds witnessed three consecutive months of outflows with investor redemptions totalling US$20.7 billion during this period. Total hedge fund assets grew by US$9.1 billion over the past seven months with the industry’s total assets currently standing at US$2.25 trillion.
  • The US$800 billion long/short equity hedge fund space has seen investor redemptions of US$18.4 billion over the 3 months ending July 2016. The Eurekahedge Long/Short Equity Hedge Fund Index is up 0.89% for the year – the worst performer among all strategic mandates.
  • Total AUM in the US$532.0 billion European hedge fund industry has declined by US$9.0 billion over the last three months as investors redeemed US$10.9  billion from the industry following lacklustre returns and uncertainty in a post Brexit environment.
  • Roughly 80% of hedge funds posted positive returns over the 3 year annualised period, with close to a quarter of these managers posting double digit gains over this period.
  • Among developed market mandates, North American hedge fund managers lead the tables, up 3.87% year-to-date whereas Japanese and European managers fell into negative territory, down 4.21% and 1.82% respectively. The US$1.5 trillion North American hedge funds sector grew by US$12.3 billion over the past seven months, with performance-based gains accounting for US$6.5 billion of this growth.
  • Asia ex-Japan managers were up 0.48% year-to-date with the performance of underlying Greater China hedge funds down 4.70% over the same period. Nonetheless, Greater China hedge fund managers beat the CSI 300 Index which was down 14.13% over the past seven months.
  • CTA/managed futures hedge fund strategies lead in terms of investor allocations for the year, recording US$10.5 billion in inflows for 2016. The Eurekahedge CTA/Managed Futures Hedge Fund Index is up 4.22% for the year with its sub-group of trend following strategies gaining 5.38%.
  • Relative value hedge funds led the tables across strategic mandates in July, up 2.51%. On a year-to-date basis, relative value hedge funds were up 4.88% with AUM growing by US$5.1 billion over the past seven months to reach US$61.6 billion as of July 2016.

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Footnote
1 Based on 48.48% of funds which have reported July 2016 returns as at 11 August 2016
2 MSCI AC World Index (Local)
 
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