Hedge Funds Post Worst Monthly Return Since May 2012

Hedge Funds Post Worst Monthly Return Since May 2012 by Preqin

Losses of 2.60% in January sees hedge funds slip to -0.84% for the 12 month period ending 31st January.

Hedge funds returned -2.60% in January as the asset class recorded its worst monthly performance since 2012, with macro hedge funds the only top-level strategy to post positive returns at 0.98%. In a month when leading equity indices posted significant losses — the S&P 500 posted -5.07% and MSCI World posted -6.05% — hedge funds pursuing equity strategies returned -4.28%.

By contrast, CTAs started 2016 with returns of 1.38%, their best monthly performance since they made gains of 3.75% in January 2015. Funds of CTAs posted negative returns in 2015 of -6.77%; however these funds recorded the highest return (+3.85%) of any fund type in January 2016.

Hedge Funds – Other Key Performance Statistics:

  • All Fund Sizes Negative: No leading fund size benchmark* emerged from January in positive figures but emerging fund sizes (less than $100mn) provided the best hedging, albeit with losses of 2.51%. Medium hedge funds ($500-999mn) fell by 3.05% and large hedge funds ($1bn+) by 2.87%.
  • Volatility Hedge Funds Limit Damage: Following losses of 1.02% in December, volatility hedge funds returned -0.13% in January. This was a small loss compared to other hedge fund trading styles, especially in contrast to many other fund types and traditional markets, and their 12-month gains remain strong at 5.33%.
  • Emerging Markets Slump: January saw emerging markets hedge funds lose 3.15% for the month and sink into negative figures for 12-month returns (-1.38%). In contrast, developed markets funds saw gains of 0.48% up from -0.38% in December, though North America-focused hedge funds returned -3.46% in January.
  • Liquid Alts Suffer Again: UCITS posted negative returns for a second consecutive month recording -2.53% in January. Alternative mutual funds suffered losses of -2.53%, their greatest monthly loss since 2011.


“Having recorded gains of 2.02% through 2015, the hedge fund industry began 2016 with negative returns. January was the lowest monthly performance for the industry since May 2012, as only a handful of fund types and strategies posted positive returns. However, global economic headwinds have seen many public markets fall by in excess of 5%, so the industry has successfully hedged the losses of some investors.

CTAs saw their highest monthly performance since January 2015 while macro strategies were the only top-level hedge fund strategy to make gains in the first month of 2016. In light of the current market environment, these products — which can provide some non-correlation and downside protection — may see increased interest from investors over the coming months.”

Amy Bensted – Head of Hedge Fund Products, Preqin

Hedge Funds Performance