Below are early estimates for February 2010 hedge fund asset flows and performance. A full report will be available later in the month.|
Both performance and investor flows were positive in February. Positive returns were driven by global macro and equity related strategies with those focused in technology and small cap markets performing best. Fixed income strategies lagged equities and after several months of producing above average returns, distressed funds were down and mortgage related strategies were slightly below the industry average.
· The HFN Hedge Fund Aggregate Index was +1.04% in February 2010 and +0.50% YTD compared to -0.61% for the S&P 500 TR Index.
· Total hedge fund assets increased 1.30% to an estimated $2.191 trillion, both performance and investor flows increased assets.
· Investors allocated a net $5.05 billion to hedge funds in February, performance accounted for an additional $22.97 billion resulting in total assets increasing $28.03 billion during the month.
· Investor flows were positive in February for the ninth month in the last ten. There was a slight outflow in December due to year-end redemption trends.
· The Core Growth Rate (% increase in assets due solely to investor flows) was +0.23% in February, an increase from January.
· Hedge fund assets are still $746 billion below the peak set in Q2 2008.
HFN released the Q4 2009 Hedge Fund Administrator Survey during the month.
The survey included information from over 60 of the largest alternative asset administrators. HFN uses the survey results as an annual reference for our hedge fund industry asset estimates.
Main Survey Page: http://www.hedgefund.net/reports/Admin_Survey/q409_survey.htm
Methodology for using the survey to estimate total industry assets: http://www.hedgefund.net/reports/Admin_Survey/q409_other.htm
Details from February:
· Arbitrage strategies (Statistical, Cap Structure and Merger) had the highest rates of investor allocation in February.
· Event Driven, Market Neutral Equity and Distressed also had net investor inflows during the month. Long/Short EQ strategies were positive, but below average.
· CTA/Managed Futures products had their third straight month of net investor redemptions.
· Emerging markets strategies had slight net outflows.
Regional/Country Specific Exposure:
Emerging market fund returns were mixed in February. Funds investing in the Middle East/North Africa region produced the most volatile, but best average performance of any regional exposures during the month while the average of funds investing in Russia and India were both negative.
HFN MENA Index: +3.19% in February, +4.54% in 2010
HFN Brazil Index: +1.82% in February, -1.41% in 2010
HFN China Index: +0.08% in February, -3.88% in 2010
HFN India Index: -1.00% in February, -2.44% in 2010
HFN Russia Index: -3.62% in February, -0.93% in 2010
HFN Emerging Markets Index: -0.31% in February, -0.53% in 2010
Fixed Income (FI) Strategies
The average performance from fixed income focused strategies was +0.09% in February. There did not appear to be a specific strategy which performed exceptionally well during the month. The best returns came from a mix of funds utilizing capital structure arbitrage and discretionary or quantitative strategies in government bond markets.
HFN Mortgages Index: +0.97% in February, +4.23% in 2010
HFN Distressed Index: -0.05% in February, +2.16% in 2010
HFN Fixed Income Arbitrage Index: +0.61% in February, +2.57% in 2010
Equity (EQ) Strategies
The average performance from equity focused strategies was +1.04% in February. Returns lagged broad EQ market primarily due to Healthcare and Finance Sector funds as well as Short Bias strategies. Smaller funds appear to have produced the majority of outsized returns during the month. Eight of the top ten EQ focused funds in February had assets below $25 million.
HFN Long/Short Equity Index: +1.04% in February, +0.02% in 2010
HFN Market Neutral EQ Index: +0.63% in February, +0.99% in 2010
HFN Short Bias Index: -2.42% in February, -0.29% in 2010
HFN Energy Sector Index: +0.36% in February, +0.84% in 2010
HFN Healthcare Sector Index: -1.51% in February, +0.83% in 2010
Commodity and Foreign Exchange (FX) Related Strategies
After a tough start to 2010, CTAs had above average returns in February. Funds investing in currencies and oil related commodities performed best while those investing in the agricultural sector were down slightly on average.
Foreign Exchange focused funds: +2.09% in February, +0.76 in 2010
Oil/energy related commodities: +1.86% in February, -1.91% in 2010
Financial Futures focused funds: +0.53% in February, -0.57% in 2010
HFN CTA/Managed Futures Index: +1.23% in February, -1.55% in 2010 - KM -