Hedge Funds AUM Increases By US$106.0 Billion by Eurekahedge

Get The Full Ray Dalio Series in PDF

Get the entire 10-part series on Ray Dalio in PDF. Save it to your desktop, read it on your tablet, or email to your colleagues

Key highlights for July 2015:

  • Hedge fund assets under management have increased by US$106.0 billion in the first seven months of 2015, driven by strong investor inflows totalling US$54.1 billion and roughly US$52 billion coming from performance-based gains.
  • The CBOE Eurekahedge Relative Value Volatility Hedge Fund Index is up 5.12% year-to-date, coming in second place among all hedge fund strategic mandates. Relative value volatility funds have shown great consistency posting annualised returns of 10.33% at a low annualised standard deviation of only 3.75% since 2005.
  • Asia ex-Japan hedge funds lost 2.60% in July as funds with Greater China exposure were among the hardest hit - down 8.49% in July.
  • CTA/managed futures funds have grown their asset base by 16% in 2015 largely on the back of strong capital inflows totalling US$25.6 billion.
  • Multi-strategy funds have grown their asset base by 9.25% in 2015 to reach US$362.4 billion, with new investor inflows accounting for over half of this gain.
  • North American managers have grown their asset base by US$63.4 billion and are up 3.01% year-to-date.

Hedge funds bounced into recovery this month - gaining 0.27%1, though still underperforming underlying markets as the MSCI World Index2 gained 1.34%. Equity markets were mostly up this month with the US, European and Japanese equity markets recovering from last month’s losses, while the Chinese equity markets sell-off seemed to show signs of bottoming out with active intervention by the Chinese authorities. Asia ex-Japan suffered their second consecutive month of losses, down 2.60% as its heavyweight Greater China funds were down 8.49%. The Shenzhen and Shanghai Composite Indexes plunged 14.35% and 14.34% respectively during the month. Latin American funds also posted losses of 0.36% as a strengthening US dollar, sliding commodity prices and lacklustre equity markets continue to impact the region. The Brazilian real depreciated 9.21% against the US dollar in July while the Mexican IPC and Brazilian IBOVESPA declined by 0.67% and 4.17% respectively. European focused funds were up in positive territory this month as investor concerns on Greece seemed to simmer after bailout plans were set to put in place after months of negotiation. European focused hedge funds were among the best performers this month, followed by Japanese and North American focused funds – gaining 1.04%, 0.73% and 0.56% respectively.

Hedge Funds

European managers led the table this month with gains of 1.04%, as European equity markets were back in positive territory in July. The DAX and CAC indexes were both up 3.33% and 6.10% while the Euro Stoxx 50 was also up this month – gaining 5.15%. Japanese focused funds came in second with gains of 0.73% with both the Nikkei 225 and the Tokyo Topix up 1.73% and 1.79%. While Chinese and Korean equity markets languished, Japanese equity markets were the only North Asian equity markets to bounce back into positive territory during the month. North American hedge funds posted positive gains up 0.56% this month amid improving macroeconomic data from the United States, bolstering investor optimism in the region with its second quarter GDP just slightly below estimates. US consumer spending, a heavyweight of its economy was also up during the same period. Asia ex-Japan funds performed the worse among all regional mandates, down 2.60% as its Greater China constituents faced heavy losses this month. On a year-to-date basis, all regional mandates were in positive territory. Asia ex-Japan funds led the tables with 9.44%, owing to strong gains in its Greater China constituents prior to the end of Q2 2015. Japanese managers came in second with year-to-date gains of 6.07% followed by European and North American managers with year-to-date gains of 5.49% and 3.01% respectively while Latin American managers were up 1.61% during the same period.

Hedge Funds

Mizuho-Eurekahedge Asset Weighted Index

The asset weighted Mizuho-Eurekahedge Index bounced back into positive territory in July, up 0.45%. The index’s heavyweight CTA/managed futures and macro strategy funds were up, gaining 3.02% and 0.08% respectively. It should also be noted that the Mizuho-Eurekahedge Index is US dollar dominated, and during months of strong US dollar gains, the index results include the currency conversion loss for funds that are denominated in other currencies. The US Dollar Index was up 1.94% in July.

The Mizuho-Eurekahedge Top 100 Index was the best performer registering gains of 0.95% in July, followed by the Mizuho-Eurekahedge Multi-Strategy Index which was up 0.87%. The Mizuho-Eurekahedge Emerging Markets Index performed the worst with losses of 3.78%, followed by the Mizuho-Eurekahedge Asia Pacific Index, down 3.31% with its major constituents – long/short equities down 4.46% during the same period. On a year-to-date basis, the Mizuho-Eurekahedge Multi-Strategy Index led the table with gains of 3.95%, followed by the Mizuho-Eurekahedge Asia Pacific Index with gains of 3.87% while the Mizuho-Eurekahedge Emerging Markets Index came in last with losses of 5.62%. Currency conversion losses weigh in on returns especially during periods of strong US dollar gains. The USD Index gained 1.94% in July, with the US dollar appreciating against most currencies during the month.

Hedge Funds

Hedge Funds

1 Based on 53.40% of funds which have reported July 2015 returns as at 14 August 2015

2 MSCI AC World (Local)

Eurekahedge

Launched by financial professionals in 2001, Eurekahedge's proven track record spans over a decade - setting us apart as the world's largest independent data provider and alternative research firm specialising in hedge fund databases covering North America, Europe, Asia and Latin America. Headquartered in Singapore with offices in New York and Cebu, the global expertise of our research team constantly adapts to industry changes and needs, allowing Eurekahedge to develop and offer a wide array of products and services coveted by accredited investor groups, financial institutions and media sources. In addition to market-leading hedge fund databases and analysis, Eurekahedge's other business functions include hedge fund publications, due diligence services, investor services, and an analytical platform service.