Global hedge funds up in Feb, Japan managers deliver record returns

13 March 2013

Hedge funds posted positive returns in February amid mixed returns in global markets. The Eurekahedge Hedge Fund Index was up 0.13%1 during the month, outperforming the MSCI World Index2 which was down 0.07%.

Key takeaways for the month of February 2013:

  • The Eurekahedge Japan Hedge Fund Index crossed the 200-point mark for the first time to reach its highest level on record
  • Japanese hedge funds witnessed the strongest 3-month return on record, up by 10.50%
  • Nearly 200 hedge funds are up more than 10% so far in the year
  • 23% of early reporting funds attract assets in February
  • Asia ex-Japan and European hedge funds outperformed underlying markets by 0.07% and 3.28% respectively
  • Event driven hedge funds witnessed the ninth consecutive month of positive returns - up nearly 10% since June last year
  • The asset-weighted Mizuho-Eurekahedge Asia ex-Japan Long Short Equities Index was up 1.02% in January

Regional Indices

February witnessed diverging trends among global markets with US and European indices finishing with contrasting results. Risk aversion increased mid-month and the S&P dropped below the 1500 mark in the third week of February as developments from Europe effected confidence globally. Economic contraction in Europe along with political uncertainty in Spain and Italy dampened some of the bullishness across the board. Although North American bourses rebounded at month-end to finish in the black, European indices finished with losses.

Managers across all major hedge fund regions posted positive returns, while Eastern European hedge funds finished the month with losses. Asian hedge funds provided the strongest returns in February – Japanese managers were up 1.80% as underlying markets continued to rally, although most of the gain was made on the last day of the month. The promise of Prime Minister Abe’s policies have delivered strong gains to the Japanese market and the momentum looks set to continue for awhile. Certainly Mr. Abe seems convinced of this as he reflected at the CSIS forum that “Japan is backâ€Â and the market is following the flow. The Eurekahedge Japan Hedge Fund Index has climbed to its historical high, crossing the 200 point marking and gained 10.50% over the last three months; making it the strongest 3-months on record for the index.

Asia ex-Japan managers also closed the month with gains of 0.80%, outperforming underlying equity markets which finished the month with an increase of 0.73%3. Long/short equity and event driven funds delivered the strongest returns during the month, up by 1.23% and 1.88% respectively.

European hedge funds also posted positive returns of 0.54% for the month, outperforming underlying markets by more than 3%. European markets declined as the debt issues once again came to the fore - driven primarily by the results of Italian elections. Long/short equity and European macro managers reported gains for the months. North American managers continued to make hay as the markets shrugged off European concerns amid a slew of positive economic data.

Strategy Indices

Most strategies delivered positive returns for the month with distressed debt and event driven hedge funds once again posting the strongest returns, albeit more muted than the previous two months. Distressed debt funds were up 0.71%, driven primarily by North America investing managers who gained 1.67%. European distressed debt funds dipped 0.2%, posting their first loss in nine-months – the BofA Merrill Lynch High Yield Index4 was up 0.21% in February.

CTA/managed futures funds posted the lowest returns, down 1.23% driven primarily by currency and commodity price movements. Long term trend-following strategies reported losses from currency positions as the Euro’s trend of gains reversed during the month. Similarly the reversing trends in energy prices also added losses for the managers while metal and agricultural prices also declined during the month. Managers investing in equity index futures reported some gains during February while some short-term systematic funds were also in the black.

Main Eurekahedge Indices

February
2013*

2012 Returns

2011 Returns

Hedge Fund Index

0.13

2.24

-3.02

Fund of Funds Index

0.17

2.11

-5.33

Long-Only Absolute Return Fund Index

0.75

4.52

-13.84

Islamic Fund Index

-0.08

1.10

-3.51

Eurekahedge Strategy Indices

February
2013*

2012 Returns

2011 Returns

Arbitrage

0.54

1.27

1.33

CTA/Managed Futures

-1.23

0.05

0.37

Distressed Debt

0.71

3.43

-1.16

Event Driven

0.66

2.52

-4.20

Fixed Income

0.39

1.68

0.63

Long/Short Equities

0.52

3.72

-6.74

Macro

-0.17

1.14

-1.05

Multi-Strategy

0.22

2.20

-1.89

Relative Value

0.43

2.05

-1.31


* Based on 44.60% of funds which have reported February 2013 returns as at 12 March 2013

Eurekahedge Regional Indices

February
2013*

2012 Returns

2011 Returns

North American

0.43

2.53

0.24

European

0.54

2.58

-5.99

Eastern Europe & Russia

-2.41

1.40

-20.55

Japan

1.80

6.44

-1.34

Emerging Markets

0.30

2.97

-8.16

Asia ex-Japan

0.80

4.65

-12.21

Latin American

0.48

1.63

1.92

Mizuho-Eurekahedge Indices

February
2013*

2012 Returns

2011 Returns

Mizuho-Eurekahedge Index - USD

-0.90

1.34

-2.07

TOP 100 Index - USD

-0.87

1.04

1.87

TOP 300 Index - USD

-0.85

1.28

0.04

Asia-Eurekahedge Indices

February
2013*

2012 Returns

2011 Returns

Greater China

0.19

5.90

-13.29

India

-3.36

-1.76

-24.18

1 Based on 44.6% of funds which have reported February 2013 returns as at 12 March 2013
2 MSCI AC World Index All Core (USD)
3 MSCI AC Asia Pacific Ex Japan Index All Core (USD)
4 Bank of America Merrill Lynch US High Yield Master II Index (Total Return Index, in Local Currency)

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