Hedge Fund Investor Flows and Performance Rebound to Begin 2012 |
Date: Thursday, February 9, 2012
Author: Peter Laurelli, Channel Capital Group Inc.
Below are early estimates1 for January hedge fund performance and asset
flows. A full report will be available later in the month.
January Highlights:
-In a similar fashion to 2011, a rally in global equity markets was the story to
start 2012 and all major fund classifications posted aggregate gains. The HFN
Hedge Fund Aggregate Index was +2.26% in January, reversing a two month slide
and nearly matching the industry�s best month of 2011 (October, +2.36%). The S&P
500 Total Return Index (S&P) was +4.48%.
-New allocations to hedge funds appear to have outpaced redemptions in January.
Should the trend hold as more funds report, the net inflow reverses a four month
trend of net redemptions for the industry. Performance gains pushed hedge fund
assets over $2.5 trillion and early indications show investors appeared to
continue favoring credit and commodity strategies over equities entering the
year.
-Emerging market strategies (+3.88%) were the largest beneficiaries of the
environment and many EM countries rebounded significantly. Brazil and India
focused funds were the top performers (+9.01% & +6.10%) for the month. MENA
strategies, in stark contrast to other EM groups, stayed flat (+0.02%) in
January as tensions in the region continued to rise. EM equity strategies
outperformed EM debt strategies (+5.80% vs. +1.57%) in January, but still lag
significantly over the last twelve months (-11.09% vs. +1.21%).
-The aggregate of all equity strategies outperformed credit (+3.11% vs. 1.71%),
while convertible arbitrage (+2.78%) and event driven (+2.60%) were also among
the top performers. Mortgage strategies continued to post solid results (+2.02%)
and are the best performing fund classification over the last twelve months
(+10.35%).
-Despite a shift in recent major currency trends in January, macro funds were
largely positive (+2.87%) during the month, likely increasing equity market
exposures and extending gains off the back of rising commodity prices.
Multi-strategy funds lagged, but were still in positive territory for the month
(+0.39%).
-Sector specific equity funds surged in January led by natural resources and
financials sector equity funds (+11.54% and +4.70%). Healthcare focused
strategies (+4.08% in January) were the only sector specific equity funds to end
2011 in the black (+7.42%). UCITS compliant long/short equity funds (+4.53%),
which generally tend to hold a long bias, outperformed their non-compliant
counterparts for another consecutive month.
-Regional groups were up across the board to start the year. Funds investing in
the emerging markets generally outperformed developed markets funds. Funds
investing in the U.S. were +3.12% on average, while those in Japan were +2.88%.
Australia focused funds lagged against developed market peers with preliminary
estimates showing +0.17% in January; the Australia group was the top country
specific DM performer in the last twelve months, +1.02%.
The full eVestment|HFN January report, to be released in the third week of
February, will provide details on asset flows across the industry and by
strategy and region.
January Benchmark Performance Emerging Market Benchmarks HFN Brazil Index: +9.01% in January, +3.05% LTM HFN China Index: +2.14% in January, -9.63% LTM HFN India Index: +6.10% in January, -22.93% LTM HFN Russia Index2: N/A in January, -24.81% LTM HFN Latin America Index: +7.94% in January, +1.14% LTM HFN Middle East/North Africa Index: +0.02% in January, -15.11% LTM Emerging Markets Debt: +1.57% in January, +1.21% LTM Emerging Markets Equity: +5.80% in January, -11.09% LTM HFN Emerging Markets Index: +3.88% in January, -12.11% LTM Broad and Developed Market Benchmarks HFN Asia Index: +3.39% in January, -8.21% LTM HFN Europe Index: +2.16% in January, -5.14% LTM HFN North America Index: +3.05% in January, +0.07% LTM HFN Australia Index: +0.17% for January, +1.02% LTM HFN Japan Index: +2.88% in January, -6.31% LTM HFN U.S. Index: +3.12% in January, +0.56% LTM Fixed Income (FI) Strategies All Fixed Income Strategies: +1.71% in January, +3.64% LTM Corporate Bond Strategies: +1.80% in January, +3.86% LTM Government Bond Strategies: +1.56% in January, +3.58% LTM HFN Distressed Index: +3.00% in January, -0.66% LTM HFN Mortgages Index: +2.02% in January, +10.35% LTM HFN Fixed Income Arbitrage Index: +1.70% in January, +4.14% LTM Equity (EQ) Strategies All Equity Strategies: +3.11% in January, -4.24% LTM HFN Long/Short Equity Index: +3.06% in January, -4.12% LTM HFN Market Neutral Equity Index: +1.59% in January, +2.06% LTM HFN Short Bias Index: -7.87% in January, -3.59% LTM Energy Equity Strategies: +4.21% in January, -8.22% LTM Financials Equity Strategies: +4.70% in January, -3.22% LTM Healthcare Equity Strategies: +4.08% in January, +7.42% LTM Natural Resource Equity Strategies: +11.54% in January, -2.40% LTM Real Estate Equity Strategies: +3.86% in January, -7.24% LTM Technology Equity Strategies: +2.57% in January, -1.43% LTM Commodity and Foreign Exchange (FX) Strategies Foreign Exchange Strategies: +0.22% in January, -0.05% LTM Financial Futures Strategies: +1.66% in January, +1.76% LTM Commodity (Non-FX) Strategies: +0.53% in January, -2.08% LTM HFN CTA/Managed Futures Index: +0.73% in January, -2.68% LTM1Early estimates are based on funds reporting January returns as of February 08, 2012. Performance has a tendency to drift lower as more funds report. Asset estimates may drift lower, but have not shown a consistent tendency to do so.
2An insufficient number of funds has reported January performance data as of February 08, 2012 to produce an estimate. Please look forward to our full January report later this month for an update.
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