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Eurekahedge hedge fund index continue fifth-month growth with 0.31% gains in May, up 3.25% YTD

Tuesday, June 13, 2017
Opalesque Industry Update - Hedge funds posted their fifth consecutive month of gains this year, up 0.31%1 during the month of May. Meanwhile, underlying markets as represented by the MSCI AC World Index (Local) were up 1.09% over the same period. Equity markets performed well this month with strength led by developed markets. Encouraging macroeconomic data from Europe and Japan buoyed economic recovery sentiments with growth in manufacturing activity adding to much optimism. On the other hand, data coming out of the US was rather lukewarm with weaker than expected inflation figures and jobs data.

Among regional mandates, Japan mandated hedge funds topped the table for the month, gaining 1.88% followed by Asia ex-Japan and European mandated hedge funds with gains of 0.91% and 0.72% respectively. Emerging markets hedge funds were also up this month gaining 0.17%. On the other hand, Latin American mandated hedge funds posted the steepest decline, down 1.19% followed by their North American counterparts with losses of 0.33%. On a year to-date basis, hedge funds are up 3.25% while underlying markets gained 7.45%. Asia ex-Japan hedge fund managers led the table up 7.89% followed by their emerging markets and Latin American counterparts with gains of 6.99% and 5.91% respectively.

Below are the key highlights for the month of May 2017:

- Hedge funds gained 0.31% in May with underlying markets, as represented by the MSCI AC World Index (Local) up 1.09% over the same period. On a year-to-date basis, managers gained 3.25% while underlying markets were up 7.45%.

- Among developed mandates, Japanese hedge funds were up 1.88%, followed by European peers with gains of 0.72%. On the other hand, North American hedge fund managers posted losses this month, declining 0.33%. On a year-to-date basis, European managers were up 4.23% followed by Japanese and North American managers who posted gains of 3.43% and 2.21% respectively.

- CTA/managed futures hedge fund managers gained a modest 0.11% in May with underlying FX-focused hedge funds leading much of the strength, gaining 0.32% for the month. On a year-to-date basis, CTA/managed futures hedge fund managers declined 0.36% with commodity-focused hedge funds leading much of the weakness, retracting 2.01%.

- Emerging market mandates gained 0.17% for the month with strength led by underlying Asia ex-Japan hedge funds. Frontier markets as represented by Eurekahedge Frontier Markets Hedge Fund Index was up 1.33% for the month.

- The Eurekahedge Long Short Equities Hedge Fund Index was up 0.52%% during the month with strength led by underlying equity long-bias hedge funds which gained 0.70% over the same period. On a year-to-date basis, long/short equities hedge fund managers gained 5.02% with strength led by underlying equity long bias hedge fund managers (+7.40% year-to-date).

- Asia ex-Japan mandated hedge funds were up 0.91% during the month with strength led by underlying Greater China and India hedge fund managers, who were up 1.99% and 0.19% over the same period respectively. On a year-to-date basis, Greater China and India mandated hedge funds posted impressive gains, up 11.04% and 15.31% respectively.

- Among volatility-focused hedge funds, short volatility hedge funds topped the table for May, gaining 0.68% while long-volatility hedge funds posted the steepest decline, down 0.38%. On a year-to-date basis, short volatility hedge funds gained 4.90% while tail risk hedge funds were down 6.76%.

Press release and performance tables: Source

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