Eurekahedge Hedge Fund Index Gains 0.64% in June on CTA Strength

Jul 13 2016 | 12:40am ET

Hedge funds beat underlying markets during June, according to a flash update of the Eurekahedge Hedge Fund Index, despite the broad turmoil that accompanied Britain’s decision to leave the European Union.

Eureka’s Hedge Fund Index gained 0.64% and is up 1.34% for the first half after four consecutive months of positive returns, noted the company in a statement. Underlying markets, as represented by the MSCI World Index (Local), were down 1.38% during the month. Almost 56% of the underlying constituent funds for the Eurekahedge Hedge Fund Index were positive for June, with a quarter reporting gains in excess of 2.5%, while roughly 15% reported losses exceeding -2.5%. 

Although first-half performance varied across regional exposures and strategic mandates, almost 20% of the managers followed by the firm have posted first half returns in excess of 5%, with almost 15% delivering performance-based gains upwards of 7%. Of these, long/short equities and CTA/managed futures strategies constitute a good one-half of the funds, with managers focused on North American equities featuring strongly in this pool.

Other key highlights from Eurekahedge’s June 2016 flash report:

  • How Top Hedge Funds Weathered 'Brexit Day': The S&P 500 index lost -3.59%, which essentially wiped out all its 2016 gains in one day. MSCI Europe (USD) and MSCI World (USD) lost -8.77% and -4.90% respectively. At the same time, Quantvest's Eurekahedge 50 Tracker Index, which tracks the performance of the world's top 50 hedge funds, declined only -0.36%. Read more about the Tracker Index here.
  • The Eurekahedge Trend Following Hedge Fund Index, a sub-group of the broad CTA Index outshone in June and was up 5.96% during the month as winning trends in the credit, commodities and FX space emerged following an unwelcome Brexit.
  • North American hedge fund managers lead the performance among developed mandates, gaining 0.56% during the month. On the other hand, Japanese and European hedge funds fell into negative territory in June, losing 2.22% and 1.58%. On a year-to-date basis, North American hedge fund managers were up 2.33% beating their Japanese and European counterparts who were down 5.28% and 2.89% respectively. 
  • Asia ex-Japan hedge fund managers gained 0.45% during the month but are down 1.95% year-to-date. Underlying Greater China hedge funds were up a marginal 0.03% during the month and lost 6.03% year-to-date, outperforming the CSI 300 Index which fell 15.47% year-to-date.
  • Latin American hedge funds were up 4.33% in June and up 12.98% year-to-date, outperforming other regional mandates over both periods respectively. Managers have also outperformed underlying markets as represented by the MSCI Latin America Index which was up 4.10% in June and up 12.75% year-to-date. On a year-to-date basis, 81% of Latin American hedge fund managers have posted positive returns, with 30% of them posting year-to-date returns greater than 10%.
  • CTA/managed futures hedge funds posted the best returns among strategic mandates, up 3.61% in June. Managers also outperformed other strategic mandates on a year-to-date basis, gaining 4.69% - their best year-to-date returns since 2008.

Eurekahedge’s update was based on 40.84% of funds that have reported June 2016 returns as at 12 July 2016. The company tracks asset flows, hedge fund performance and regional key trends across the hedge fund universe, tracking more than 130 data points on more than 24,000 alternative funds in its database.

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