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Alternative Market Briefing

Macro and managed futures fund assets drop to near all-time lows: eVestment

Tuesday, February 04, 2014

Bailey McCann, Opalesque New York:

New data out from eVestment on macro and managed futures funds show that as performance in the two groups continues to lag, assets under management have dropped to near all time lows. At the same time, assets to the hedge fund industry overall have increased by nearly 10%. Investors redeemed more from macro strategies in 2013 than in any other year on record driven by large outflows at year end.

In terms of performance, over the past five years, cumulative gains for macro funds were roughly half that of the hedge fund industry and managed futures performance has been nearly flat since October 2010. Some of this reflects the natural performance of these types of strategies up against an equity market bull run like we've seen since 2009. However making that case to still return starved investors -- faced with paying fees -- is difficult.

Report data shows that performance lifted assets by about $8bn for macro funds last year, despite redemption outflows amounting to an asset weighted return of 3.6%. The picture for managed futures funds is a bit more dire, the group had their largest ever AUM decline in 2013, previous largest ever declines were in 2011 and then again in 2012. At USD 143.8bn, managed futures AUM is at its lowest level since Q1 2007.

"Investors redeemed, on net, more from managed futures strategies in 2013 than they did from all other strategies with net investor outflows for the year, combined, by a fact......................

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