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Hedge funds end five-month growth with losses of 0.19% in June (3.03% YTD)

Wednesday, July 12, 2017
Opalesque Industry Update - Hedge funds ended their five-month winning streak, down 0.19%1 for June 2017 based on preliminary numbers for the month. The average return of the Eurekahedge Hedge Fund Index was drawn into negative territory in June as developed market mandates underperformed their emerging market peers; with trend-following and macro strategies lagging behind the pack.

Meanwhile, underlying markets as represented by the MSCI AC World Index (Local) were up 0.18% over the same period. Equity markets posted mixed results with European equities ending the month in the red whilst North American mandates posted modest gains. In contrast emerging market equity mandates were the bright spot led by strong gains for Chinese equities. Concerns over tightening monetary policy in developed markets (sans Japan) weighted on market sentiment, though there was some support from positive macro numbers coming out from China where Q2 GDP growth appears to be holding steady.

Among regional mandates, Japan mandated hedge funds topped the table for the month with gains of 1.58%, followed by Asia ex-Japan and Latin America mandated hedge funds with 1.12% and 0.86% growth respectively. Emerging markets hedge funds were also up this month with 0.67%. On the other hand, European hedge funds posted a decline of 0.18% while North American fund managers posted modest returns of 0.32%. On a year to-date basis, hedge funds are up 3.03% while underlying markets grew 7.65%. Asia ex-Japan hedge fund managers lead the table up 9.10% followed by their emerging markets and Latin American counterparts witnessing growth of 7.41% and 6.79% respectively.

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

  • Hedge funds lost 0.19% in June with underlying markets, as represented by the MSCI AC World Index (Local), up 0.18% over the same period. On a year-to-date basis, managers gained 3.03% while underlying markets were up 7.65%.
  • Among developed market mandates, Japanese hedge funds led on a year-to-date basis with 7.41% growth, followed by European hedge funds with 4.07% and North American hedge funds with 2.66%.
  • Among strategic mandates, equity long bias hedge funds led on a year-to-date basis, up 7.75%, followed by event driven hedge funds with 5.77% and short volatility hedge funds with 5.25%.
  • Emerging market mandates continued to outshine their developed market peers, with India, Greater China and Asia ex-Japan hedge funds posting returns of 14.61%, 12.05% and 9.10% respectively. Latin America and Eastern Europe mandated funds were also up 6.79% and 4.77% for the year.
  • Performance across fund sizes has varied, with mid-sized hedge funds (US$100 million - US$500 million) outperforming their billion dollar peers by almost 140 basis points for the year. The Eurekahedge Billion Dollar Hedge Fund Index was down 0.63% in June and up 1.77% year-to-date.
  • Systematic trend following strategies posted the steepest decline during the month, down 3.75% in June and 4.69% for the year. Long volatility hedge funds have been another casualty in 2017 with a loss of 6.55% in the first half of the year.
  • CTA/managed futures strategies dropped 1.95% for the year, with commodity focused hedge funds dipping 1.77% while FX focused strategies are up 1.99%.
Eurekahedge's indices: Source

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