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Hedge funds lost 0.51% in June (+0.40% YTD), investors withdrew $2.45bn - HFN

Friday, July 09, 2010
Opalesue Industry Update - Below are early estimates for June 2010 and 1H 2010 hedge fund performance and asset flows. A full report will be available later in the month.

June and First Half 2010 Performance Highlights:

  • The HFN Hedge Fund Aggregate Index was -0.51% in June and ended the first half of 2010 +0.40%. The S&P 500 Total Return Index (S&P) was -5.23% in June and -6.65% YTD.
  • Aggregate performance has been supported by fixed income and FX strategies while funds investing in commodity and equity markets have lagged.
  • Fixed income funds outperformed equity strategies by nearly 500 basis points in 1H 2010.
  • Emerging market focused fund returns were mixed in June and in 1H. India focused funds produced the best June and YTD performance, +2.40% and +3.07%, respectively, while funds investing in China and Brazil have lagged. Despite negative returns in June, Russia focused funds remained positive in 1H 2010.
  • Mortgage sector funds continued to be the best performing group in 2010 after producing superior returns in 2009.
  • The HFN CTA/Managed Futures Index underperformed all but one strategy specific benchmark in 2010. Only long only funds performed worse in 1H 2010.
  • Long/short equity strategies outperformed the S&P 500 TR Index by more than 500 basis points in the first half of the year.

June and First Half 2010 Asset Flow Highlights:

  • Total industry assets fell an estimated -0.76% to $2.214 trillion in June, the second monthly decline in a row and the first month of net investor outflows since December 2009.
  • Performance accounted for $14.57 billion of the decrease in June and investors accounted for a net outflow of $2.45 billion. The investor outflow followed three consecutive months of declining rates of inflows.
  • The core rate of growth/decline (% asset change due to investor allocations/redemptions) was a decrease of -0.11%.
  • In the first six months of 2010, total hedge fund assets increased an estimated 1.99%, or $43.30 billion. Performance added an estimated $21.40 billion and investors added an additional $21.90 billion, the vast majority of which came in Q1 2010.
  • Hedge fund assets ended 1H 2010 an estimated $722.57 billion below their peak level set two years ago in Q2 2008.

Aggregate hedge fund performance was strong relative to equity markets in June and in the first half of 2010. Although positive returns were more prevalent among fixed income and FX related strategies, long/short equity funds continued to show strong relative returns compared to their equity market benchmarks.

Despite the net inflow from investors in the first half, the industryís growth has trended downward for several months in a row culminating in the first net outflow of 2010 in June. Additionally, the last two monthsí performance has likely put a meaningful portion of the industry below their high water marks.

HFNís full June report, to be released in the third week of July, will provide details on high water marks and asset flows by strategy and region.

June and 1H 2010 Benchmark Performance:

Emerging Market Benchmarks:

HFN Brazil Index:                                 +2.15% in June, -1.14% in 2010

HFN China Index:                                  +1.98% in June, -5.46% in 2010

HFN India Index:                                  +2.40% in June, +3.07% in 2010

HFN Russia Index:                                 -2.78% in June, +1.30% in 2010

HFN Latin America Index:                          +1.96% in June, -0.43% in 2010

HFN MENA Index:                                   -2.42% in June, +0.78% in 2010

Emerging Market Debt:                             +1.62% in June, +2.87% in 2010

Emerging Market Equity:                           -0.95% in June, -1.02% in 2010

HFN Emerging Markets Index:                       +0.36% in June, +1.37% in 2010

Broad and Developed Market Benchmarks:

HFN Asia Index:                                  -1.28% in June, -1.47% in 2010

HFN Europe Index:                                -1.01% in June, -0.97% in 2010

HFN North America Index:                         -1.16% in June, +1.22% in 2010

HFN Australia Index:                             -0.67% in June, -4.32% in 2010

HFN Japan Index:                                 -2.82% in June, +1.40% in 2010

HFN U.S. Index:                                  -1.32% in June, +0.95% in 2010

Fixed Income (FI) Strategies

All Fixed Income Strategies:                  +0.76% in June, +5.37% in 2010

Corporate bond strategies:                    +0.27% in June, +5.47% in 2010

Government bond strategies:                   +1.31% in June, +3.94% in 2010

HFN Distressed Index:                         +0.74% in June, +6.64% in 2010

HFN Mortgages Index:                          +1.00% in June, +9.85% in 2010

HFN Fixed Income Arbitrage Index:             +0.49% in June, +5.55% in 2010

Equity (EQ) Strategies

All Equity Focused Strategies:               -1.08% in June, -0.42% in 2010

HFN Long/Short Equity Index:                 -1.46% in June, -1.33% in 2010

HFN Market Neutral EQ Index:                 -0.36% in June, +0.56% in 2010

HFN Short Bias Index:                        +4.11% in June, -0.94% in 2010

HFN Energy Sector Index:                     +1.50% in June, +2.46% in 2010

HFN Healthcare Sector Index:                 -2.81% in June, -1.79% in 2010

HFN Technology Sector Index:                 -2.30% in June, +1.51% in 2010

Commodity and Foreign Exchange (FX) Related Strategies
Foreign Exchange focused funds: -0.08% in June, +2.86% in 2010 Oil/energy related commodities: +1.15% in June, -0.60% in 2010 Financial Futures focused funds: -0.58% in June, -8.69% in 2010 HFN CTA/Managed Futures Index: +0.42% in June, -2.05% in 2010

Corporate website: Source

- FG

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