Eurekahedge: Hedge Fund Index Dips -0.19% in June

Jul 11 2017 | 9:32pm ET

Hedge funds ended their streak of five consecutive months of positive returns in June, according to a flash update of Eurekahedge’s Hedge Fund Index, while still underperforming broader market measures for the month.  

The company’s widely followed measure lost -0.19% for June, compared with a +0.18% gain in the MSCI AC World Index (Local) over the same period, Eurekahedge said in a statement. Through the first half of 2017, hedge funds are up 3.03% while underlying markets have gained 7.65%.

Key highlights from Eurekahedge’s May 2017 report:

  • 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 ($100 million - $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 have dropped 1.95% so far the year, with commodity focused hedge funds dipping 1.77% while FX focused strategies are up 1.99%.

Eurekahedge’s data was based on 38.42% of funds that have reported June 2017 returns as of 11 July 2017. 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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