Hedge Funds End 2015 Up 1.56%, Lowest Annual Return Since 2011 by Eurekahedge
Hedge funds ended 2015 on a low note with the Eurekahedge Hedge Fund Index down 0.58%1in December while the MSCI World Index2declined 2.23% during the month. Overall for 2015, hedge funds were up 1.56% (their lowest annual return on record since 2011) amidst a challenging market environment in 2015. Meanwhile underlying markets as represented by the MSCI World Index ended the year in the red, down 0.48%.
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Key takeaways for the month of December 2015:
- Hedge funds posted their lowest annual return on record since 2011, up 1.56% in 2015. Total AUM in hedge funds has grown by US$110 billion in 2015, with more than half of this gain coming from investor flows.
- Among developed market mandates, Japanese managers lead with annual gains of 6.21%, followed by European managers up 5.06% while North American managers trailed behind with a flat performance of 0.03%.
- Greater China investing hedge funds posted their fourth consecutive month of gains and were up 3.46% in December, 12.08% for AY 2015. China dedicated funds have outperformed the CSI 300 Index by 6.5% in 2015 with gains in Q4 alone coming in at 8.52%.
- Distressed debt funds have posted the worst return among all hedge fund strategic mandates, down 5.31% – their worst performance on record since 2008. Meanwhile arbitrage strategies have posted the strongest gains in 2015, up 4.46% helped by gains accruing from underlying volatility arbitrage strategies.
- On a year-to-date basis Asia ex-Japan mandated hedge funds are up 8.35%, the biggest gainer among all hedge fund regional investment mandates and have outperformed the MSCI AC Asia ex Japan Index by over 14%.
- Eastern Europe and Russia dedicated hedge fund strategies posted the worst returns in December, down 4.48% for the month following the steep downturn in oil prices and the consequent double-digit losses in Russian equities.
|Main Indices||Dec 20151||Last 3 Months||2015 Returns||2014 Returns||Annualised Returns||Constituents||Weighting|
|Eurekahedge Hedge Fund Index||-0.58||1.11||1.56||4.64||9.10%||2,831||Equal|
|Eurekahedge CTA/Managed Futures Hedge Fund Index||0.15||2.22||5.06||0.65||7.65%||305||Equal|
|Eurekahedge Greater China Hedge Fund Index||3.46||8.52||12.08||7.60||15.94%||78||Equal|
|Index of the Month||Dec 20151||Last 3 Months||2015 Returns||2014 Returns||Annualised Returns||Constituents||Weighting|
|CBOE Eurekahedge Relative Value Volatility Hedge Fund Index||-0.62||1.76||4.30||-0.36||9.84%||41||Equal|
|Eurekahedge Main Indices||Dec 20151||2015 Returns||2014 Returns|
|Eurekahedge Hedge Fund Index||-0.58||1.56||4.64|
|Eurekahedge Fund of Funds Index||-0.73||0.15||3.47|
|Eurekahedge Long-only Absolute Return Fund Index||-1.06||-2.11||3.84|
|Eurekahedge Islamic Fund Index||0.83||-0.77||2.65|
Performance across regional mandates was mixed during the month of December with Asia ex-Japan mandated funds seeing the largest gains. The Eurekahedge Asia ex Japan Hedge Fund Index was up 1.48% during the month as underlying Chinese equity markets continued their recovery towards the year-end with Greater China mandated hedge funds posting strong gains of 3.46% during the month. Despite their tumble during June 2015 to August 2015, Greater China mandated hedge funds have posted annual gains of 12.08% in 2015, aided in part by a strong Q4 recovery where managers posted 3-month gains of 8.52%. Within the developed market mandates, European hedge funds did relatively better, up 0.15% in December while Japan mandated strategies delivered a flat 0.03% and North American mandates were firmly in the red down 0.36%.
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Overall for 2015, Asia ex-Japan, dedicated Japan and European mandates performed the best delivering gains of 8.35%, 6.21% and 5.06% respectively. Meanwhile Latin America mandated funds struggled in the red, down 0.39% for the year while North America dedicated strategies are barely above water, delivering a flat 0.03% in a disappointing year for US equities.
|Eurekahedge Regional Indices||Dec 20151||2015 Returns||2014 Returns|
|Eurekahedge North American Hedge Fund Index||-0.36||0.03||5.62|
|Eurekahedge European Hedge Fund Index||0.15||5.06||0.65|
|Eurekahedge Eastern Europe & Russia Hedge Fund Index||-4.48||-0.99||-23.72|
|Eurekahedge Japan Hedge Fund Index||0.03||6.21||5.76|
|Eurekahedge Emerging Markets Hedge Fund Index||-0.37||2.72||3.50|
|Eurekahedge Asia ex Japan Hedge Fund Index||1.48||8.35||9.10|
|Eurekahedge Latin American Hedge Fund Index||-0.92||-0.39||2.16|
Returns across hedge fund strategic mandates were disappointing during December with most finishing the month in negative territory. The Eurekahedge CTA/Managed Futures Hedge Fund Index was the worst performer, down 1.14% during the month, as hedge funds with exposure to US and European equity futures registered losses. In particular, long positions into European equities suffered losses as ECB’s early December meeting proved to be a disappointment for investors leading to a slump in European equities. European markets captured investor disappointment much throughout the month with the DAX and CAC losing 5.62% and 6.47% respectively during the month. On top of that, positions in the EUR and USD were also disappointing for some CTA/managed futures hedge funds as post-central bank meeting outcomes in the US and EUR proved to be a drag on performance on the FX front.
On a year-to-date basis, arbitrage managers lead with gains of 4.46% followed by long/short equities and macro managers who follow next with gains of 2.99% and 2.36% respectively. Over the course of the past three months (October to December), macro managers’ allocations into FX, equity indexes and metals have lead to some hedge funds posting modest gains on a year-to-date basis. Towards the end of the year, FX continued to be a key trading theme for macro managers building positions in the euro, yen and the US dollar pairs.
Fixed income managers posted losses of 0.90% during the month – their first monthly loss since September. Much of the bond scene was affected by the disappointing monetary policy of the ECB, leading investors to unwind their long positions in German bonds which had hitherto been seeing their yields decline. Meanwhile long/short equities managers posted losses of 0.42% during the month. Among regional mandates within this strategy, Asian long/short equity managers posted the best gain during the month – up 0.62%, followed by European long/short equities managers – up 0.13%. Greater China long/short equities hedge funds, a heavy-weight in the index, were up 2.48%, posting the best return across Asian single-country long/short equity mandates during the month.
|Eurekahedge Strategy Indices||Dec 20151||2015 Returns||2014 Returns|
|Eurekahedge Arbitrage Hedge Fund Index||0.06||4.46||2.74|
|Eurekahedge CTA/Managed Futures Hedge Fund Index||-1.14||-0.61||9.27|
|Eurekahedge Distressed Debt Hedge Fund Index||-0.69||-5.31||0.79|
|Eurekahedge Event Driven Hedge Fund Index||-0.32||-1.31||2.29|
|Eurekahedge Fixed Income Hedge Fund Index||-0.90||0.62||3.67|
|Eurekahedge Long Short Equities Hedge Fund Index||-0.42||2.99||3.53|
|Eurekahedge Macro Hedge Fund Index||-0.13||2.36||4.72|
|Eurekahedge Multi-Strategy Hedge Fund Index||-0.20||2.17||4.62|
|Eurekahedge Relative Value Hedge Fund Index||-0.44||1.42||3.76|
|CBOE Eurekahedge Long Volatility Hedge Fund Index||0.10||0.68||1.58|
|CBOE Eurekahedge Relative Value Volatility Hedge Fund Index||-0.62||4.30||-0.36|
|CBOE Eurekahedge Short Volatility Hedge Fund Index||0.36||2.72||4.47|
|CBOE Eurekahedge Tail Risk Hedge Fund Index||-0.54||-7.00||-3.22|
|Eurekahedge Global Hedge Fund Indices by Fund Size||Dec 20151||2015 Returns||2014 Returns|
|Eurekahedge Small Hedge Fund Index (< US$100m)||-0.55||1.29||4.43|
|Eurekahedge Medium Hedge Fund Index (US$100m – US$500m)||-0.80||2.37||4.55|
|Eurekahedge Large Hedge Fund Index (> US$500m)||-0.09||2.51||5.41|
|Eurekahedge Billion Dollar Hedge Fund Index||-0.07||2.02||4.96|
|Mizuho-Eurekahedge Indices||Dec 20151||2015 Returns||2014 Returns|
|Mizuho-Eurekahedge Index – USD||0.12||-0.46||1.18|
|Mizuho-Eurekahedge TOP 100 Index – USD||-0.02||1.02||2.32|
|Mizuho-Eurekahedge TOP 300 Index – USD||0.18||0.22||1.77|
|Asia-Eurekahedge Indices||Dec 20151||2015 Returns||2014 Returns|
|Eurekahedge Greater China Hedge Fund Index||3.46||12.08||7.60|
|Eurekahedge India Hedge Fund Index||0.93||5.07||38.84|
* Based on 37.41% of funds which have reported December 2015 returns as at 12 January 2016
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1 Based on 37.41% of funds which have reported December 2015 returns as at 12 January 2016
2 MSCI AC World Index (Local)