Research

Asset Flows Update

Introduction

The Eurekahedge Hedge Fund Index was up 0.48% in September1 while underlying markets as represented by the MSCI World Index2 grew 0.19% over the same period. Among regional mandates, Japan managers led the table up 1.27% during the month followed by North American managers who were up 0.93%. Across strategies, distressed debt hedge funds led the table with gains of 1.12% followed by event driven hedge funds with 0.86%.

Final asset flow figures for August revealed that managers reported performance-based gains of US$5.6 billion while recording net asset outflows of US$7.0 billion. Preliminary data for September shows that managers have posted performance-based gains of US$3.0 billion while recording net outflows of US$8.8 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 September 2016:

  • Hedge funds recorded their fifth month of investor redemptions pushing net investor allocations into the red for the year with US$8.7 billion outflows as of September 2016 year-to-date – the steepest year-to-date redemptions since 2009. Nonetheless, investors have been selective in their allocations across strategies with CTA/managed futures and multi-strategy hedge funds seeing stronger subscriptions.
  • The US$207.5 billion event driven hedge fund space has seen US$14.0 billion investor redemptions over the past nine months, the strategy’s steepest YTD outflows on record and up from US$1.5 billion outflows over the same period last year. 
  • Asset base for the US$1.49 trillion North American hedge fund industry grew by US$13.1 billion over the year with most of this growth attributed to performance-driven gains (US$18.5 billion year-to-date) while redemptions totalling US$5.5 billion were recorded over the same period.
  • The US$254.6 billion CTA/managed futures hedge fund industry has seen its asset base grow by US$17.1 billion over the past nine months, with the strategy recording the highest year-to-date investor inflows (US$11.0 billion).
  • The US$529.6 billion European hedge fund industry has seen its asset base contract by US$5.5 billion year-to-date, with managers seeing strong investor redemptions totalling US$17.1 billion over the past five consecutive months for the period ending September. The Eurekahedge European Hedge Fund Index was down 0.39% year-to-date.
  • Within Asia Pacific, Japan dedicated strategies have been the worst performing, losing 3.00% while broad Asia ex-Japan mandates are up a modest 2.39% with strength led by underlying India focused hedge funds (+8.47% for the year). Indian hedge funds have outperformed the BSE Sensex Index which gained 6.69% over the past nine months.
  • While underlying Greater China dedicated hedge funds fell 0.97% over the year, managers still beat underlying markets with the CSI 300 Index down 12.80% over the same period.  
  • The top performing North American hedge funds have returned 18% on average for the year, well ahead of the star performers in Asia and Europe which have gained around 8% each. Of the top 150 funds, 71% of North American managers posted double digit returns as of August 2016 year-to-date compared with 51% of managers over the same period in 2015. More details on this in the 2016 Key Trends in North American Hedge Funds report.

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Footnote
1 Based on 50.56% of funds which have reported September 2016 returns as at 13 October 2016
2 MSCI AC World Index (Local)
 
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